{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "id": "3664e73d-e27a-4be5-bf39-9c24f07e086e",
   "metadata": {},
   "outputs": [],
   "source": [
    "import numpy as np # 数据处理最重要的模块\n",
    "import pandas as pd # 数据处理最重要的模块\n",
    "import scipy.stats as stats # 统计模块\n",
    "import scipy\n",
    "# import pymysql  # 导入数据库模块\n",
    "\n",
    "from datetime import datetime # 时间模块\n",
    "import statsmodels.formula.api as smf  # OLS regression\n",
    "\n",
    "# import pyreadr # read RDS file\n",
    "\n",
    "from matplotlib import style\n",
    "import matplotlib.pyplot as plt  # 画图模块\n",
    "import matplotlib.dates as mdates\n",
    "\n",
    "from matplotlib.font_manager import FontProperties # 作图中文\n",
    "from pylab import mpl\n",
    "#mpl.rcParams['font.sans-serif'] = ['SimHei']\n",
    "#plt.rcParams['font.family'] = 'Times New Roman'\n",
    "\n",
    "#输出矢量图 渲染矢量图\n",
    "%matplotlib inline\n",
    "%config InlineBackend.figure_format = 'svg'\n",
    "\n",
    "from IPython.core.interactiveshell import InteractiveShell # jupyter运行输出的模块\n",
    "#显示每一个运行结果\n",
    "InteractiveShell.ast_node_interactivity = 'all'\n",
    "\n",
    "#设置行不限制数量\n",
    "#pd.set_option('display.max_rows',None)\n",
    "\n",
    "#设置列不限制数量\n",
    "pd.set_option('display.max_columns', None)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "bd8912ec-4d96-4b93-97ce-945fa33dd46b",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Stkcd</th>\n",
       "      <th>Trdmnt</th>\n",
       "      <th>Opndt</th>\n",
       "      <th>Mopnprc</th>\n",
       "      <th>Clsdt</th>\n",
       "      <th>Mclsprc</th>\n",
       "      <th>Mnshrtrd</th>\n",
       "      <th>Mnvaltrd</th>\n",
       "      <th>floatingvalue</th>\n",
       "      <th>totalvalue</th>\n",
       "      <th>Ndaytrd</th>\n",
       "      <th>Return</th>\n",
       "      <th>Mretnd</th>\n",
       "      <th>Markettype</th>\n",
       "      <th>Capchgdt</th>\n",
       "      <th>Ahshrtrd_M</th>\n",
       "      <th>Ahvaltrd_M</th>\n",
       "      <th>month</th>\n",
       "      <th>rfmonth</th>\n",
       "      <th>ret</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-04</td>\n",
       "      <td>3</td>\n",
       "      <td>49.00</td>\n",
       "      <td>30</td>\n",
       "      <td>43.68</td>\n",
       "      <td>13400</td>\n",
       "      <td>6.150000e+05</td>\n",
       "      <td>1.157520e+09</td>\n",
       "      <td>2.118487e+09</td>\n",
       "      <td>20</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-04-30</td>\n",
       "      <td>0.006651</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-05</td>\n",
       "      <td>2</td>\n",
       "      <td>43.46</td>\n",
       "      <td>31</td>\n",
       "      <td>38.34</td>\n",
       "      <td>187800</td>\n",
       "      <td>7.675000e+06</td>\n",
       "      <td>1.016010e+09</td>\n",
       "      <td>1.859497e+09</td>\n",
       "      <td>24</td>\n",
       "      <td>-0.122253</td>\n",
       "      <td>0.235714</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-05-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.128345</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-06</td>\n",
       "      <td>1</td>\n",
       "      <td>38.53</td>\n",
       "      <td>28</td>\n",
       "      <td>33.99</td>\n",
       "      <td>30600</td>\n",
       "      <td>1.094000e+06</td>\n",
       "      <td>9.007350e+08</td>\n",
       "      <td>1.648521e+09</td>\n",
       "      <td>23</td>\n",
       "      <td>-0.113459</td>\n",
       "      <td>-0.113459</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-06-30</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.119551</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-07</td>\n",
       "      <td>1</td>\n",
       "      <td>33.65</td>\n",
       "      <td>31</td>\n",
       "      <td>29.54</td>\n",
       "      <td>6100</td>\n",
       "      <td>1.940430e+05</td>\n",
       "      <td>7.828100e+08</td>\n",
       "      <td>1.432695e+09</td>\n",
       "      <td>16</td>\n",
       "      <td>-0.130921</td>\n",
       "      <td>-0.130921</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-07-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.137013</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-08</td>\n",
       "      <td>1</td>\n",
       "      <td>29.39</td>\n",
       "      <td>31</td>\n",
       "      <td>15.00</td>\n",
       "      <td>3243100</td>\n",
       "      <td>4.957624e+07</td>\n",
       "      <td>6.748338e+08</td>\n",
       "      <td>1.346275e+09</td>\n",
       "      <td>15</td>\n",
       "      <td>-0.411588</td>\n",
       "      <td>-0.411587</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-08-01</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-08-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.417680</td>\n",
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       "      <th>886908</th>\n",
       "      <td>920992</td>\n",
       "      <td>2025-05</td>\n",
       "      <td>6</td>\n",
       "      <td>20.00</td>\n",
       "      <td>30</td>\n",
       "      <td>20.46</td>\n",
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       "      <td>19</td>\n",
       "      <td>0.051312</td>\n",
       "      <td>0.051715</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2025-05-31</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
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       "    <tr>\n",
       "      <th>886909</th>\n",
       "      <td>920992</td>\n",
       "      <td>2025-06</td>\n",
       "      <td>3</td>\n",
       "      <td>20.40</td>\n",
       "      <td>30</td>\n",
       "      <td>21.26</td>\n",
       "      <td>73152031</td>\n",
       "      <td>1.580767e+09</td>\n",
       "      <td>5.931152e+08</td>\n",
       "      <td>2.056500e+09</td>\n",
       "      <td>20</td>\n",
       "      <td>0.039101</td>\n",
       "      <td>0.039101</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2025-06-30</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886910</th>\n",
       "      <td>920992</td>\n",
       "      <td>2025-07</td>\n",
       "      <td>1</td>\n",
       "      <td>21.13</td>\n",
       "      <td>31</td>\n",
       "      <td>22.44</td>\n",
       "      <td>96064221</td>\n",
       "      <td>2.126994e+09</td>\n",
       "      <td>6.260351e+08</td>\n",
       "      <td>2.170642e+09</td>\n",
       "      <td>23</td>\n",
       "      <td>0.055503</td>\n",
       "      <td>0.055503</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
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       "      <td>2025-07-31</td>\n",
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       "    <tr>\n",
       "      <th>886911</th>\n",
       "      <td>920992</td>\n",
       "      <td>2025-08</td>\n",
       "      <td>1</td>\n",
       "      <td>22.12</td>\n",
       "      <td>29</td>\n",
       "      <td>21.65</td>\n",
       "      <td>63953451</td>\n",
       "      <td>1.432608e+09</td>\n",
       "      <td>6.039955e+08</td>\n",
       "      <td>2.094225e+09</td>\n",
       "      <td>21</td>\n",
       "      <td>-0.035205</td>\n",
       "      <td>-0.035205</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2025-08-31</td>\n",
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       "      <td>NaN</td>\n",
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       "    <tr>\n",
       "      <th>886912</th>\n",
       "      <td>920992</td>\n",
       "      <td>2025-09</td>\n",
       "      <td>1</td>\n",
       "      <td>21.75</td>\n",
       "      <td>30</td>\n",
       "      <td>21.07</td>\n",
       "      <td>83403669</td>\n",
       "      <td>1.981091e+09</td>\n",
       "      <td>5.878146e+08</td>\n",
       "      <td>2.038121e+09</td>\n",
       "      <td>22</td>\n",
       "      <td>-0.026790</td>\n",
       "      <td>-0.026790</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2025-09-30</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>886913 rows × 20 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "         Stkcd   Trdmnt  Opndt  Mopnprc  Clsdt  Mclsprc  Mnshrtrd  \\\n",
       "0       000001  1991-04      3    49.00     30    43.68     13400   \n",
       "1       000001  1991-05      2    43.46     31    38.34    187800   \n",
       "2       000001  1991-06      1    38.53     28    33.99     30600   \n",
       "3       000001  1991-07      1    33.65     31    29.54      6100   \n",
       "4       000001  1991-08      1    29.39     31    15.00   3243100   \n",
       "...        ...      ...    ...      ...    ...      ...       ...   \n",
       "886908  920992  2025-05      6    20.00     30    20.46  92609592   \n",
       "886909  920992  2025-06      3    20.40     30    21.26  73152031   \n",
       "886910  920992  2025-07      1    21.13     31    22.44  96064221   \n",
       "886911  920992  2025-08      1    22.12     29    21.65  63953451   \n",
       "886912  920992  2025-09      1    21.75     30    21.07  83403669   \n",
       "\n",
       "            Mnvaltrd  floatingvalue    totalvalue  Ndaytrd    Return  \\\n",
       "0       6.150000e+05   1.157520e+09  2.118487e+09       20       NaN   \n",
       "1       7.675000e+06   1.016010e+09  1.859497e+09       24 -0.122253   \n",
       "2       1.094000e+06   9.007350e+08  1.648521e+09       23 -0.113459   \n",
       "3       1.940430e+05   7.828100e+08  1.432695e+09       16 -0.130921   \n",
       "4       4.957624e+07   6.748338e+08  1.346275e+09       15 -0.411588   \n",
       "...              ...            ...           ...      ...       ...   \n",
       "886908  1.922463e+09   5.707967e+08  1.979115e+09       19  0.051312   \n",
       "886909  1.580767e+09   5.931152e+08  2.056500e+09       20  0.039101   \n",
       "886910  2.126994e+09   6.260351e+08  2.170642e+09       23  0.055503   \n",
       "886911  1.432608e+09   6.039955e+08  2.094225e+09       21 -0.035205   \n",
       "886912  1.981091e+09   5.878146e+08  2.038121e+09       22 -0.026790   \n",
       "\n",
       "          Mretnd  Markettype    Capchgdt  Ahshrtrd_M  Ahvaltrd_M      month  \\\n",
       "0            NaN           4  1991-04-03         NaN         NaN 1991-04-30   \n",
       "1       0.235714           4  1991-04-03         NaN         NaN 1991-05-31   \n",
       "2      -0.113459           4  1991-04-03         NaN         NaN 1991-06-30   \n",
       "3      -0.130921           4  1991-04-03         NaN         NaN 1991-07-31   \n",
       "4      -0.411587           4  1991-08-01         NaN         NaN 1991-08-31   \n",
       "...          ...         ...         ...         ...         ...        ...   \n",
       "886908  0.051715          64  2023-04-25         0.0         0.0 2025-05-31   \n",
       "886909  0.039101          64  2023-04-25         0.0         0.0 2025-06-30   \n",
       "886910  0.055503          64  2023-04-25         0.0         0.0 2025-07-31   \n",
       "886911 -0.035205          64  2023-04-25         0.0         0.0 2025-08-31   \n",
       "886912 -0.026790          64  2023-04-25         0.0         0.0 2025-09-30   \n",
       "\n",
       "         rfmonth       ret  \n",
       "0       0.006651       NaN  \n",
       "1       0.006092 -0.128345  \n",
       "2       0.006092 -0.119551  \n",
       "3       0.006092 -0.137013  \n",
       "4       0.006092 -0.417680  \n",
       "...          ...       ...  \n",
       "886908       NaN       NaN  \n",
       "886909       NaN       NaN  \n",
       "886910       NaN       NaN  \n",
       "886911       NaN       NaN  \n",
       "886912       NaN       NaN  \n",
       "\n",
       "[886913 rows x 20 columns]"
      ]
     },
     "execution_count": 2,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "cross = pd.read_csv('C:/datasets/TRD_Mnth202509.csv')\n",
    "from pandas.tseries.offsets import MonthEnd\n",
    "# 处理月份格式\n",
    "cross['month'] = pd.to_datetime(cross['Trdmnt'], format='%Y-%m') + MonthEnd(1)\n",
    "# 补齐股票代码 如果不满6位 在前面补上0\n",
    "cross['Stkcd'] = cross['Stkcd'].apply(lambda x: '{:0>6}'.format(x)) # 6位股票代码\n",
    "# 重命名列以匹配后续代码\n",
    "cross.rename(columns={'Mretwd': 'Return', 'Msmvosd': 'floatingvalue', 'Msmvttl': 'totalvalue'}, inplace=True)\n",
    "\n",
    "# 导入无风险利率数据\n",
    "rf_data = pd.read_csv('C:/datasets/Marketret_mon_stock2024.csv')\n",
    "# 处理月份格式\n",
    "rf_data['month'] = pd.to_datetime(rf_data['month'], format='%b %Y') + MonthEnd(1)\n",
    "# 只保留需要的列\n",
    "rf_data = rf_data[['month', 'rfmonth']]\n",
    "\n",
    "# 合并无风险利率到cross\n",
    "cross = pd.merge(cross, rf_data, on='month', how='left')\n",
    "\n",
    "# 计算超额收益率\n",
    "cross['ret'] = cross['Return'] - cross['rfmonth']\n",
    "cross['floatingvalue'] = cross['floatingvalue'] * 1000\n",
    "cross['totalvalue'] = cross['totalvalue'] * 1000\n",
    "cross"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "74e03b7a-4d98-4231-b44d-b7a9c9f92116",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "方法1完成：补全日期序列后使用shift\n"
     ]
    },
    {
     "data": {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Stkcd</th>\n",
       "      <th>month</th>\n",
       "      <th>ret</th>\n",
       "      <th>next_ret_method1</th>\n",
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       "      <th>0</th>\n",
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       "      <th>1</th>\n",
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       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-06-30</td>\n",
       "      <td>-0.119551</td>\n",
       "      <td>-0.137013</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-07-31</td>\n",
       "      <td>-0.137013</td>\n",
       "      <td>-0.417680</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-08-31</td>\n",
       "      <td>-0.417680</td>\n",
       "      <td>-0.039425</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-09-30</td>\n",
       "      <td>-0.039425</td>\n",
       "      <td>0.849080</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-10-31</td>\n",
       "      <td>0.849080</td>\n",
       "      <td>0.016213</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-11-30</td>\n",
       "      <td>0.016213</td>\n",
       "      <td>0.061181</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-12-31</td>\n",
       "      <td>0.061181</td>\n",
       "      <td>0.055237</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-01-31</td>\n",
       "      <td>0.055237</td>\n",
       "      <td>0.006749</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-02-29</td>\n",
       "      <td>0.006749</td>\n",
       "      <td>0.239957</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-03-31</td>\n",
       "      <td>0.239957</td>\n",
       "      <td>0.471835</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-04-30</td>\n",
       "      <td>0.471835</td>\n",
       "      <td>0.167934</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-05-31</td>\n",
       "      <td>0.167934</td>\n",
       "      <td>-0.076888</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-06-30</td>\n",
       "      <td>-0.076888</td>\n",
       "      <td>0.079622</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-07-31</td>\n",
       "      <td>0.079622</td>\n",
       "      <td>-0.101487</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-08-31</td>\n",
       "      <td>-0.101487</td>\n",
       "      <td>0.075120</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-09-30</td>\n",
       "      <td>0.075120</td>\n",
       "      <td>-0.110352</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-10-31</td>\n",
       "      <td>-0.110352</td>\n",
       "      <td>-0.047394</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-11-30</td>\n",
       "      <td>-0.047394</td>\n",
       "      <td>0.155788</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "     Stkcd      month       ret  next_ret_method1\n",
       "0   000001 1991-04-30       NaN         -0.128345\n",
       "1   000001 1991-05-31 -0.128345         -0.119551\n",
       "2   000001 1991-06-30 -0.119551         -0.137013\n",
       "3   000001 1991-07-31 -0.137013         -0.417680\n",
       "4   000001 1991-08-31 -0.417680         -0.039425\n",
       "5   000001 1991-09-30 -0.039425          0.849080\n",
       "6   000001 1991-10-31  0.849080          0.016213\n",
       "7   000001 1991-11-30  0.016213          0.061181\n",
       "8   000001 1991-12-31  0.061181          0.055237\n",
       "9   000001 1992-01-31  0.055237          0.006749\n",
       "10  000001 1992-02-29  0.006749          0.239957\n",
       "11  000001 1992-03-31  0.239957          0.471835\n",
       "12  000001 1992-04-30  0.471835          0.167934\n",
       "13  000001 1992-05-31  0.167934         -0.076888\n",
       "14  000001 1992-06-30 -0.076888          0.079622\n",
       "15  000001 1992-07-31  0.079622         -0.101487\n",
       "16  000001 1992-08-31 -0.101487          0.075120\n",
       "17  000001 1992-09-30  0.075120         -0.110352\n",
       "18  000001 1992-10-31 -0.110352         -0.047394\n",
       "19  000001 1992-11-30 -0.047394          0.155788"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 生成下一个月的收益率\n",
    "\n",
    "# 方法1：补全所有个股的日期序列，再使用shift\n",
    "# 创建所有日期和股票代码的完整组合\n",
    "all_months = pd.DataFrame(cross['month'].unique(), columns=['month'])\n",
    "all_stocks = pd.DataFrame(cross['Stkcd'].unique(), columns=['Stkcd'])\n",
    "# 创建笛卡尔积 - 所有股票和所有月份的组合\n",
    "full_index = all_stocks.merge(all_months, how='cross')\n",
    "\n",
    "# 将原始数据合并到完整索引中\n",
    "cross_full = full_index.merge(cross, on=['Stkcd', 'month'], how='left')\n",
    "# 按股票代码和月份排序\n",
    "cross_full = cross_full.sort_values(['Stkcd', 'month'])\n",
    "# 使用shift生成下月收益率\n",
    "cross_full['next_ret_method1'] = cross_full.groupby('Stkcd')['ret'].shift(-1)\n",
    "\n",
    "# 只保留原始数据存在的行\n",
    "cross = cross.merge(cross_full[['Stkcd', 'month', 'next_ret_method1']], \n",
    "                    on=['Stkcd', 'month'], how='left')\n",
    "\n",
    "print(\"方法1完成：补全日期序列后使用shift\")\n",
    "cross[['Stkcd', 'month', 'ret', 'next_ret_method1']].head(20)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "c37e11f0-4f46-4dbb-ba0c-bca274575837",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "方法2完成：日期加一个月后合并\n"
     ]
    },
    {
     "data": {
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       "      <th></th>\n",
       "      <th>Stkcd</th>\n",
       "      <th>month</th>\n",
       "      <th>ret</th>\n",
       "      <th>next_ret_method1</th>\n",
       "      <th>next_ret_method2</th>\n",
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       "      <th>1</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-05-31</td>\n",
       "      <td>-0.128345</td>\n",
       "      <td>-0.119551</td>\n",
       "      <td>-0.119551</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-06-30</td>\n",
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       "      <td>-0.137013</td>\n",
       "      <td>-0.137013</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-07-31</td>\n",
       "      <td>-0.137013</td>\n",
       "      <td>-0.417680</td>\n",
       "      <td>-0.417680</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-08-31</td>\n",
       "      <td>-0.417680</td>\n",
       "      <td>-0.039425</td>\n",
       "      <td>-0.039425</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-09-30</td>\n",
       "      <td>-0.039425</td>\n",
       "      <td>0.849080</td>\n",
       "      <td>0.849080</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-10-31</td>\n",
       "      <td>0.849080</td>\n",
       "      <td>0.016213</td>\n",
       "      <td>0.016213</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-11-30</td>\n",
       "      <td>0.016213</td>\n",
       "      <td>0.061181</td>\n",
       "      <td>0.061181</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-12-31</td>\n",
       "      <td>0.061181</td>\n",
       "      <td>0.055237</td>\n",
       "      <td>0.055237</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-01-31</td>\n",
       "      <td>0.055237</td>\n",
       "      <td>0.006749</td>\n",
       "      <td>0.006749</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-02-29</td>\n",
       "      <td>0.006749</td>\n",
       "      <td>0.239957</td>\n",
       "      <td>0.239957</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-03-31</td>\n",
       "      <td>0.239957</td>\n",
       "      <td>0.471835</td>\n",
       "      <td>0.471835</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-04-30</td>\n",
       "      <td>0.471835</td>\n",
       "      <td>0.167934</td>\n",
       "      <td>0.167934</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-05-31</td>\n",
       "      <td>0.167934</td>\n",
       "      <td>-0.076888</td>\n",
       "      <td>-0.076888</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-06-30</td>\n",
       "      <td>-0.076888</td>\n",
       "      <td>0.079622</td>\n",
       "      <td>0.079622</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-07-31</td>\n",
       "      <td>0.079622</td>\n",
       "      <td>-0.101487</td>\n",
       "      <td>-0.101487</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-08-31</td>\n",
       "      <td>-0.101487</td>\n",
       "      <td>0.075120</td>\n",
       "      <td>0.075120</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-09-30</td>\n",
       "      <td>0.075120</td>\n",
       "      <td>-0.110352</td>\n",
       "      <td>-0.110352</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-10-31</td>\n",
       "      <td>-0.110352</td>\n",
       "      <td>-0.047394</td>\n",
       "      <td>-0.047394</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19</th>\n",
       "      <td>000001</td>\n",
       "      <td>1992-11-30</td>\n",
       "      <td>-0.047394</td>\n",
       "      <td>0.155788</td>\n",
       "      <td>0.155788</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
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      ],
      "text/plain": [
       "     Stkcd      month       ret  next_ret_method1  next_ret_method2\n",
       "0   000001 1991-04-30       NaN         -0.128345         -0.128345\n",
       "1   000001 1991-05-31 -0.128345         -0.119551         -0.119551\n",
       "2   000001 1991-06-30 -0.119551         -0.137013         -0.137013\n",
       "3   000001 1991-07-31 -0.137013         -0.417680         -0.417680\n",
       "4   000001 1991-08-31 -0.417680         -0.039425         -0.039425\n",
       "5   000001 1991-09-30 -0.039425          0.849080          0.849080\n",
       "6   000001 1991-10-31  0.849080          0.016213          0.016213\n",
       "7   000001 1991-11-30  0.016213          0.061181          0.061181\n",
       "8   000001 1991-12-31  0.061181          0.055237          0.055237\n",
       "9   000001 1992-01-31  0.055237          0.006749          0.006749\n",
       "10  000001 1992-02-29  0.006749          0.239957          0.239957\n",
       "11  000001 1992-03-31  0.239957          0.471835          0.471835\n",
       "12  000001 1992-04-30  0.471835          0.167934          0.167934\n",
       "13  000001 1992-05-31  0.167934         -0.076888         -0.076888\n",
       "14  000001 1992-06-30 -0.076888          0.079622          0.079622\n",
       "15  000001 1992-07-31  0.079622         -0.101487         -0.101487\n",
       "16  000001 1992-08-31 -0.101487          0.075120          0.075120\n",
       "17  000001 1992-09-30  0.075120         -0.110352         -0.110352\n",
       "18  000001 1992-10-31 -0.110352         -0.047394         -0.047394\n",
       "19  000001 1992-11-30 -0.047394          0.155788          0.155788"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 方法2：截取个股收益率数据，日期加一个月，重命名后合并回去\n",
    "# 创建下月收益率数据\n",
    "next_ret_data = cross[['Stkcd', 'month', 'ret']].copy()\n",
    "# 月份减少一个月\n",
    "next_ret_data['month'] = next_ret_data['month'] - MonthEnd(1)\n",
    "# 重命名收益率列\n",
    "next_ret_data.rename(columns={'ret': 'next_ret_method2'}, inplace=True)\n",
    "\n",
    "# 合并回原数据\n",
    "cross = cross.merge(next_ret_data, on=['Stkcd', 'month'], how='left')\n",
    "\n",
    "print(\"方法2完成：日期加一个月后合并\")\n",
    "cross[['Stkcd', 'month', 'ret', 'next_ret_method1', 'next_ret_method2']].head(20)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "d2b973d1-b89d-4e6f-9bd6-9e3fe5540d62",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "两种方法的差异统计：\n",
      "count    827102.0\n",
      "mean          0.0\n",
      "std           0.0\n",
      "min           0.0\n",
      "25%           0.0\n",
      "50%           0.0\n",
      "75%           0.0\n",
      "max           0.0\n",
      "Name: difference, dtype: float64\n",
      "\n",
      "完全一致的记录数: 827102\n",
      "总记录数: 886913\n"
     ]
    },
    {
     "data": {
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       "      <th>Stkcd</th>\n",
       "      <th>Trdmnt</th>\n",
       "      <th>Opndt</th>\n",
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       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-04</td>\n",
       "      <td>3</td>\n",
       "      <td>49.00</td>\n",
       "      <td>30</td>\n",
       "      <td>43.68</td>\n",
       "      <td>13400</td>\n",
       "      <td>6.150000e+05</td>\n",
       "      <td>1.157520e+09</td>\n",
       "      <td>2.118487e+09</td>\n",
       "      <td>20</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-04-30</td>\n",
       "      <td>0.006651</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-0.128345</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-05</td>\n",
       "      <td>2</td>\n",
       "      <td>43.46</td>\n",
       "      <td>31</td>\n",
       "      <td>38.34</td>\n",
       "      <td>187800</td>\n",
       "      <td>7.675000e+06</td>\n",
       "      <td>1.016010e+09</td>\n",
       "      <td>1.859497e+09</td>\n",
       "      <td>24</td>\n",
       "      <td>-0.122253</td>\n",
       "      <td>0.235714</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-05-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.128345</td>\n",
       "      <td>-0.119551</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-06</td>\n",
       "      <td>1</td>\n",
       "      <td>38.53</td>\n",
       "      <td>28</td>\n",
       "      <td>33.99</td>\n",
       "      <td>30600</td>\n",
       "      <td>1.094000e+06</td>\n",
       "      <td>9.007350e+08</td>\n",
       "      <td>1.648521e+09</td>\n",
       "      <td>23</td>\n",
       "      <td>-0.113459</td>\n",
       "      <td>-0.113459</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-06-30</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.119551</td>\n",
       "      <td>-0.137013</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-07</td>\n",
       "      <td>1</td>\n",
       "      <td>33.65</td>\n",
       "      <td>31</td>\n",
       "      <td>29.54</td>\n",
       "      <td>6100</td>\n",
       "      <td>1.940430e+05</td>\n",
       "      <td>7.828100e+08</td>\n",
       "      <td>1.432695e+09</td>\n",
       "      <td>16</td>\n",
       "      <td>-0.130921</td>\n",
       "      <td>-0.130921</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-07-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.137013</td>\n",
       "      <td>-0.417680</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-08</td>\n",
       "      <td>1</td>\n",
       "      <td>29.39</td>\n",
       "      <td>31</td>\n",
       "      <td>15.00</td>\n",
       "      <td>3243100</td>\n",
       "      <td>4.957624e+07</td>\n",
       "      <td>6.748338e+08</td>\n",
       "      <td>1.346275e+09</td>\n",
       "      <td>15</td>\n",
       "      <td>-0.411588</td>\n",
       "      <td>-0.411587</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-08-01</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-08-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.417680</td>\n",
       "      <td>-0.039425</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886908</th>\n",
       "      <td>920992</td>\n",
       "      <td>2025-05</td>\n",
       "      <td>6</td>\n",
       "      <td>20.00</td>\n",
       "      <td>30</td>\n",
       "      <td>20.46</td>\n",
       "      <td>92609592</td>\n",
       "      <td>1.922463e+09</td>\n",
       "      <td>5.707967e+08</td>\n",
       "      <td>1.979115e+09</td>\n",
       "      <td>19</td>\n",
       "      <td>0.051312</td>\n",
       "      <td>0.051715</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2025-05-31</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886909</th>\n",
       "      <td>920992</td>\n",
       "      <td>2025-06</td>\n",
       "      <td>3</td>\n",
       "      <td>20.40</td>\n",
       "      <td>30</td>\n",
       "      <td>21.26</td>\n",
       "      <td>73152031</td>\n",
       "      <td>1.580767e+09</td>\n",
       "      <td>5.931152e+08</td>\n",
       "      <td>2.056500e+09</td>\n",
       "      <td>20</td>\n",
       "      <td>0.039101</td>\n",
       "      <td>0.039101</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2025-06-30</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886910</th>\n",
       "      <td>920992</td>\n",
       "      <td>2025-07</td>\n",
       "      <td>1</td>\n",
       "      <td>21.13</td>\n",
       "      <td>31</td>\n",
       "      <td>22.44</td>\n",
       "      <td>96064221</td>\n",
       "      <td>2.126994e+09</td>\n",
       "      <td>6.260351e+08</td>\n",
       "      <td>2.170642e+09</td>\n",
       "      <td>23</td>\n",
       "      <td>0.055503</td>\n",
       "      <td>0.055503</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2025-07-31</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886911</th>\n",
       "      <td>920992</td>\n",
       "      <td>2025-08</td>\n",
       "      <td>1</td>\n",
       "      <td>22.12</td>\n",
       "      <td>29</td>\n",
       "      <td>21.65</td>\n",
       "      <td>63953451</td>\n",
       "      <td>1.432608e+09</td>\n",
       "      <td>6.039955e+08</td>\n",
       "      <td>2.094225e+09</td>\n",
       "      <td>21</td>\n",
       "      <td>-0.035205</td>\n",
       "      <td>-0.035205</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2025-08-31</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886912</th>\n",
       "      <td>920992</td>\n",
       "      <td>2025-09</td>\n",
       "      <td>1</td>\n",
       "      <td>21.75</td>\n",
       "      <td>30</td>\n",
       "      <td>21.07</td>\n",
       "      <td>83403669</td>\n",
       "      <td>1.981091e+09</td>\n",
       "      <td>5.878146e+08</td>\n",
       "      <td>2.038121e+09</td>\n",
       "      <td>22</td>\n",
       "      <td>-0.026790</td>\n",
       "      <td>-0.026790</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2025-09-30</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>886913 rows × 21 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "         Stkcd   Trdmnt  Opndt  Mopnprc  Clsdt  Mclsprc  Mnshrtrd  \\\n",
       "0       000001  1991-04      3    49.00     30    43.68     13400   \n",
       "1       000001  1991-05      2    43.46     31    38.34    187800   \n",
       "2       000001  1991-06      1    38.53     28    33.99     30600   \n",
       "3       000001  1991-07      1    33.65     31    29.54      6100   \n",
       "4       000001  1991-08      1    29.39     31    15.00   3243100   \n",
       "...        ...      ...    ...      ...    ...      ...       ...   \n",
       "886908  920992  2025-05      6    20.00     30    20.46  92609592   \n",
       "886909  920992  2025-06      3    20.40     30    21.26  73152031   \n",
       "886910  920992  2025-07      1    21.13     31    22.44  96064221   \n",
       "886911  920992  2025-08      1    22.12     29    21.65  63953451   \n",
       "886912  920992  2025-09      1    21.75     30    21.07  83403669   \n",
       "\n",
       "            Mnvaltrd  floatingvalue    totalvalue  Ndaytrd    Return  \\\n",
       "0       6.150000e+05   1.157520e+09  2.118487e+09       20       NaN   \n",
       "1       7.675000e+06   1.016010e+09  1.859497e+09       24 -0.122253   \n",
       "2       1.094000e+06   9.007350e+08  1.648521e+09       23 -0.113459   \n",
       "3       1.940430e+05   7.828100e+08  1.432695e+09       16 -0.130921   \n",
       "4       4.957624e+07   6.748338e+08  1.346275e+09       15 -0.411588   \n",
       "...              ...            ...           ...      ...       ...   \n",
       "886908  1.922463e+09   5.707967e+08  1.979115e+09       19  0.051312   \n",
       "886909  1.580767e+09   5.931152e+08  2.056500e+09       20  0.039101   \n",
       "886910  2.126994e+09   6.260351e+08  2.170642e+09       23  0.055503   \n",
       "886911  1.432608e+09   6.039955e+08  2.094225e+09       21 -0.035205   \n",
       "886912  1.981091e+09   5.878146e+08  2.038121e+09       22 -0.026790   \n",
       "\n",
       "          Mretnd  Markettype    Capchgdt  Ahshrtrd_M  Ahvaltrd_M      month  \\\n",
       "0            NaN           4  1991-04-03         NaN         NaN 1991-04-30   \n",
       "1       0.235714           4  1991-04-03         NaN         NaN 1991-05-31   \n",
       "2      -0.113459           4  1991-04-03         NaN         NaN 1991-06-30   \n",
       "3      -0.130921           4  1991-04-03         NaN         NaN 1991-07-31   \n",
       "4      -0.411587           4  1991-08-01         NaN         NaN 1991-08-31   \n",
       "...          ...         ...         ...         ...         ...        ...   \n",
       "886908  0.051715          64  2023-04-25         0.0         0.0 2025-05-31   \n",
       "886909  0.039101          64  2023-04-25         0.0         0.0 2025-06-30   \n",
       "886910  0.055503          64  2023-04-25         0.0         0.0 2025-07-31   \n",
       "886911 -0.035205          64  2023-04-25         0.0         0.0 2025-08-31   \n",
       "886912 -0.026790          64  2023-04-25         0.0         0.0 2025-09-30   \n",
       "\n",
       "         rfmonth       ret  next_ret  \n",
       "0       0.006651       NaN -0.128345  \n",
       "1       0.006092 -0.128345 -0.119551  \n",
       "2       0.006092 -0.119551 -0.137013  \n",
       "3       0.006092 -0.137013 -0.417680  \n",
       "4       0.006092 -0.417680 -0.039425  \n",
       "...          ...       ...       ...  \n",
       "886908       NaN       NaN       NaN  \n",
       "886909       NaN       NaN       NaN  \n",
       "886910       NaN       NaN       NaN  \n",
       "886911       NaN       NaN       NaN  \n",
       "886912       NaN       NaN       NaN  \n",
       "\n",
       "[886913 rows x 21 columns]"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 验证两种方法的结果是否一致\n",
    "comparison = cross[['Stkcd', 'month', 'ret', 'next_ret_method1', 'next_ret_method2']].copy()\n",
    "comparison['difference'] = comparison['next_ret_method1'] - comparison['next_ret_method2']\n",
    "\n",
    "print(\"两种方法的差异统计：\")\n",
    "print(comparison['difference'].describe())\n",
    "print(f\"\\n完全一致的记录数: {(comparison['difference'].abs() < 1e-10).sum()}\")\n",
    "print(f\"总记录数: {len(comparison)}\")\n",
    "\n",
    "# 使用方法2的结果作为最终的next_ret\n",
    "cross['next_ret'] = cross['next_ret_method2']\n",
    "# 删除临时列\n",
    "cross.drop(['next_ret_method1', 'next_ret_method2'], axis=1, inplace=True)\n",
    "\n",
    "cross"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "400363bf-fcaf-4164-bda4-aa1432e51bf9",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
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       "      <th></th>\n",
       "      <th></th>\n",
       "      <th>ret</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>month</th>\n",
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       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">1991-01-31</th>\n",
       "      <th>0.1</th>\n",
       "      <td>-0.002031</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0.2</th>\n",
       "      <td>0.002868</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0.3</th>\n",
       "      <td>0.006672</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0.4</th>\n",
       "      <td>0.010476</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0.5</th>\n",
       "      <td>0.022318</td>\n",
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       "    <tr>\n",
       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
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       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">2024-12-31</th>\n",
       "      <th>0.5</th>\n",
       "      <td>-0.064220</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0.6</th>\n",
       "      <td>-0.041659</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0.7</th>\n",
       "      <td>-0.017765</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0.8</th>\n",
       "      <td>0.016086</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0.9</th>\n",
       "      <td>0.079173</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>3672 rows × 1 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                     ret\n",
       "month                   \n",
       "1991-01-31 0.1 -0.002031\n",
       "           0.2  0.002868\n",
       "           0.3  0.006672\n",
       "           0.4  0.010476\n",
       "           0.5  0.022318\n",
       "...                  ...\n",
       "2024-12-31 0.5 -0.064220\n",
       "           0.6 -0.041659\n",
       "           0.7 -0.017765\n",
       "           0.8  0.016086\n",
       "           0.9  0.079173\n",
       "\n",
       "[3672 rows x 1 columns]"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "fenweishu = pd.DataFrame(\n",
    "    cross[cross['ret'].notna()].groupby(['month'])['ret'].quantile([0.1,0.2,0.3,0.4,0.5,0.6,0.7,0.8,0.9]))\n",
    "fenweishu"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "id": "77b208f8-f9d7-462c-8925-db157fbb9ca4",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th></th>\n",
       "      <th>month</th>\n",
       "      <th>level_1</th>\n",
       "      <th>ret</th>\n",
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       "  <tbody>\n",
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       "      <td>0.006672</td>\n",
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       "    <tr>\n",
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       "      <td>0.010476</td>\n",
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       "    <tr>\n",
       "      <th>4</th>\n",
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       "    <tr>\n",
       "      <th>3668</th>\n",
       "      <td>2024-12-31</td>\n",
       "      <td>0.6</td>\n",
       "      <td>-0.041659</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3669</th>\n",
       "      <td>2024-12-31</td>\n",
       "      <td>0.7</td>\n",
       "      <td>-0.017765</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3670</th>\n",
       "      <td>2024-12-31</td>\n",
       "      <td>0.8</td>\n",
       "      <td>0.016086</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3671</th>\n",
       "      <td>2024-12-31</td>\n",
       "      <td>0.9</td>\n",
       "      <td>0.079173</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>3672 rows × 3 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "          month  level_1       ret\n",
       "0    1991-01-31      0.1 -0.002031\n",
       "1    1991-01-31      0.2  0.002868\n",
       "2    1991-01-31      0.3  0.006672\n",
       "3    1991-01-31      0.4  0.010476\n",
       "4    1991-01-31      0.5  0.022318\n",
       "...         ...      ...       ...\n",
       "3667 2024-12-31      0.5 -0.064220\n",
       "3668 2024-12-31      0.6 -0.041659\n",
       "3669 2024-12-31      0.7 -0.017765\n",
       "3670 2024-12-31      0.8  0.016086\n",
       "3671 2024-12-31      0.9  0.079173\n",
       "\n",
       "[3672 rows x 3 columns]"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "fenweishu = fenweishu.reset_index()\n",
    "fenweishu"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "id": "382298a7-6aa8-41b6-80bc-205853a8b100",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th>level_1</th>\n",
       "      <th>0.1</th>\n",
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       "    <tr>\n",
       "      <th>month</th>\n",
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       "      <th></th>\n",
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       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1991-01-31</th>\n",
       "      <td>-0.002031</td>\n",
       "      <td>0.002868</td>\n",
       "      <td>0.006672</td>\n",
       "      <td>0.010476</td>\n",
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       "      <td>0.044819</td>\n",
       "      <td>0.055479</td>\n",
       "      <td>0.068586</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-02-28</th>\n",
       "      <td>-0.042360</td>\n",
       "      <td>-0.037753</td>\n",
       "      <td>-0.012489</td>\n",
       "      <td>0.005470</td>\n",
       "      <td>0.019315</td>\n",
       "      <td>0.030097</td>\n",
       "      <td>0.034615</td>\n",
       "      <td>0.046888</td>\n",
       "      <td>0.081973</td>\n",
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       "    <tr>\n",
       "      <th>1991-03-31</th>\n",
       "      <td>-0.133314</td>\n",
       "      <td>-0.133261</td>\n",
       "      <td>-0.127661</td>\n",
       "      <td>-0.092379</td>\n",
       "      <td>-0.069798</td>\n",
       "      <td>-0.065144</td>\n",
       "      <td>-0.054707</td>\n",
       "      <td>-0.030694</td>\n",
       "      <td>0.028608</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-04-30</th>\n",
       "      <td>-0.124371</td>\n",
       "      <td>-0.122867</td>\n",
       "      <td>-0.109328</td>\n",
       "      <td>-0.100079</td>\n",
       "      <td>-0.087628</td>\n",
       "      <td>-0.046745</td>\n",
       "      <td>0.020729</td>\n",
       "      <td>0.073833</td>\n",
       "      <td>0.090508</td>\n",
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       "    <tr>\n",
       "      <th>1991-05-31</th>\n",
       "      <td>-0.129118</td>\n",
       "      <td>-0.128345</td>\n",
       "      <td>-0.120582</td>\n",
       "      <td>-0.036993</td>\n",
       "      <td>-0.031989</td>\n",
       "      <td>-0.006657</td>\n",
       "      <td>0.055289</td>\n",
       "      <td>0.080639</td>\n",
       "      <td>0.202117</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
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       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-08-31</th>\n",
       "      <td>-0.132346</td>\n",
       "      <td>-0.099792</td>\n",
       "      <td>-0.078067</td>\n",
       "      <td>-0.059812</td>\n",
       "      <td>-0.044767</td>\n",
       "      <td>-0.028750</td>\n",
       "      <td>-0.012678</td>\n",
       "      <td>0.009087</td>\n",
       "      <td>0.051522</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-30</th>\n",
       "      <td>0.121100</td>\n",
       "      <td>0.152297</td>\n",
       "      <td>0.172952</td>\n",
       "      <td>0.191662</td>\n",
       "      <td>0.210420</td>\n",
       "      <td>0.233569</td>\n",
       "      <td>0.262017</td>\n",
       "      <td>0.297110</td>\n",
       "      <td>0.367056</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-10-31</th>\n",
       "      <td>-0.075368</td>\n",
       "      <td>-0.042757</td>\n",
       "      <td>-0.017695</td>\n",
       "      <td>0.006598</td>\n",
       "      <td>0.030677</td>\n",
       "      <td>0.057335</td>\n",
       "      <td>0.100766</td>\n",
       "      <td>0.170731</td>\n",
       "      <td>0.316122</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-11-30</th>\n",
       "      <td>-0.084359</td>\n",
       "      <td>-0.040340</td>\n",
       "      <td>-0.012414</td>\n",
       "      <td>0.009469</td>\n",
       "      <td>0.030202</td>\n",
       "      <td>0.052640</td>\n",
       "      <td>0.078017</td>\n",
       "      <td>0.117854</td>\n",
       "      <td>0.199230</td>\n",
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       "      <th>2024-12-31</th>\n",
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       "      <td>-0.133709</td>\n",
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       "      <td>-0.084700</td>\n",
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       "      <td>0.016086</td>\n",
       "      <td>0.079173</td>\n",
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       "<p>408 rows × 9 columns</p>\n",
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      ],
      "text/plain": [
       "level_1          0.1       0.2       0.3       0.4       0.5       0.6  \\\n",
       "month                                                                    \n",
       "1991-01-31 -0.002031  0.002868  0.006672  0.010476  0.022318  0.034159   \n",
       "1991-02-28 -0.042360 -0.037753 -0.012489  0.005470  0.019315  0.030097   \n",
       "1991-03-31 -0.133314 -0.133261 -0.127661 -0.092379 -0.069798 -0.065144   \n",
       "1991-04-30 -0.124371 -0.122867 -0.109328 -0.100079 -0.087628 -0.046745   \n",
       "1991-05-31 -0.129118 -0.128345 -0.120582 -0.036993 -0.031989 -0.006657   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2024-08-31 -0.132346 -0.099792 -0.078067 -0.059812 -0.044767 -0.028750   \n",
       "2024-09-30  0.121100  0.152297  0.172952  0.191662  0.210420  0.233569   \n",
       "2024-10-31 -0.075368 -0.042757 -0.017695  0.006598  0.030677  0.057335   \n",
       "2024-11-30 -0.084359 -0.040340 -0.012414  0.009469  0.030202  0.052640   \n",
       "2024-12-31 -0.176159 -0.133709 -0.106324 -0.084700 -0.064220 -0.041659   \n",
       "\n",
       "level_1          0.7       0.8       0.9  \n",
       "month                                     \n",
       "1991-01-31  0.044819  0.055479  0.068586  \n",
       "1991-02-28  0.034615  0.046888  0.081973  \n",
       "1991-03-31 -0.054707 -0.030694  0.028608  \n",
       "1991-04-30  0.020729  0.073833  0.090508  \n",
       "1991-05-31  0.055289  0.080639  0.202117  \n",
       "...              ...       ...       ...  \n",
       "2024-08-31 -0.012678  0.009087  0.051522  \n",
       "2024-09-30  0.262017  0.297110  0.367056  \n",
       "2024-10-31  0.100766  0.170731  0.316122  \n",
       "2024-11-30  0.078017  0.117854  0.199230  \n",
       "2024-12-31 -0.017765  0.016086  0.079173  \n",
       "\n",
       "[408 rows x 9 columns]"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "fenweishu = fenweishu.pivot_table(index='month',columns='level_1',values='ret')\n",
    "fenweishu"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "id": "fbeb68a8-5871-4f66-a87b-120ae31b846b",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th>1991-01-31</th>\n",
       "      <td>-0.002031</td>\n",
       "      <td>0.002868</td>\n",
       "      <td>0.006672</td>\n",
       "      <td>0.010476</td>\n",
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       "      <th>1991-02-28</th>\n",
       "      <td>-0.042360</td>\n",
       "      <td>-0.037753</td>\n",
       "      <td>-0.012489</td>\n",
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       "      <td>0.046888</td>\n",
       "      <td>0.081973</td>\n",
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       "    <tr>\n",
       "      <th>1991-03-31</th>\n",
       "      <td>-0.133314</td>\n",
       "      <td>-0.133261</td>\n",
       "      <td>-0.127661</td>\n",
       "      <td>-0.092379</td>\n",
       "      <td>-0.069798</td>\n",
       "      <td>-0.065144</td>\n",
       "      <td>-0.054707</td>\n",
       "      <td>-0.030694</td>\n",
       "      <td>0.028608</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-04-30</th>\n",
       "      <td>-0.124371</td>\n",
       "      <td>-0.122867</td>\n",
       "      <td>-0.109328</td>\n",
       "      <td>-0.100079</td>\n",
       "      <td>-0.087628</td>\n",
       "      <td>-0.046745</td>\n",
       "      <td>0.020729</td>\n",
       "      <td>0.073833</td>\n",
       "      <td>0.090508</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-05-31</th>\n",
       "      <td>-0.129118</td>\n",
       "      <td>-0.128345</td>\n",
       "      <td>-0.120582</td>\n",
       "      <td>-0.036993</td>\n",
       "      <td>-0.031989</td>\n",
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       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-08-31</th>\n",
       "      <td>-0.132346</td>\n",
       "      <td>-0.099792</td>\n",
       "      <td>-0.078067</td>\n",
       "      <td>-0.059812</td>\n",
       "      <td>-0.044767</td>\n",
       "      <td>-0.028750</td>\n",
       "      <td>-0.012678</td>\n",
       "      <td>0.009087</td>\n",
       "      <td>0.051522</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-30</th>\n",
       "      <td>0.121100</td>\n",
       "      <td>0.152297</td>\n",
       "      <td>0.172952</td>\n",
       "      <td>0.191662</td>\n",
       "      <td>0.210420</td>\n",
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       "      <td>0.367056</td>\n",
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       "    <tr>\n",
       "      <th>2024-10-31</th>\n",
       "      <td>-0.075368</td>\n",
       "      <td>-0.042757</td>\n",
       "      <td>-0.017695</td>\n",
       "      <td>0.006598</td>\n",
       "      <td>0.030677</td>\n",
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       "      <td>0.170731</td>\n",
       "      <td>0.316122</td>\n",
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       "    <tr>\n",
       "      <th>2024-11-30</th>\n",
       "      <td>-0.084359</td>\n",
       "      <td>-0.040340</td>\n",
       "      <td>-0.012414</td>\n",
       "      <td>0.009469</td>\n",
       "      <td>0.030202</td>\n",
       "      <td>0.052640</td>\n",
       "      <td>0.078017</td>\n",
       "      <td>0.117854</td>\n",
       "      <td>0.199230</td>\n",
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       "      <th>2024-12-31</th>\n",
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       "      <td>0.016086</td>\n",
       "      <td>0.079173</td>\n",
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      ],
      "text/plain": [
       "                 one       two     three      four      five       six  \\\n",
       "month                                                                    \n",
       "1991-01-31 -0.002031  0.002868  0.006672  0.010476  0.022318  0.034159   \n",
       "1991-02-28 -0.042360 -0.037753 -0.012489  0.005470  0.019315  0.030097   \n",
       "1991-03-31 -0.133314 -0.133261 -0.127661 -0.092379 -0.069798 -0.065144   \n",
       "1991-04-30 -0.124371 -0.122867 -0.109328 -0.100079 -0.087628 -0.046745   \n",
       "1991-05-31 -0.129118 -0.128345 -0.120582 -0.036993 -0.031989 -0.006657   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2024-08-31 -0.132346 -0.099792 -0.078067 -0.059812 -0.044767 -0.028750   \n",
       "2024-09-30  0.121100  0.152297  0.172952  0.191662  0.210420  0.233569   \n",
       "2024-10-31 -0.075368 -0.042757 -0.017695  0.006598  0.030677  0.057335   \n",
       "2024-11-30 -0.084359 -0.040340 -0.012414  0.009469  0.030202  0.052640   \n",
       "2024-12-31 -0.176159 -0.133709 -0.106324 -0.084700 -0.064220 -0.041659   \n",
       "\n",
       "               seven     eight      nine  \n",
       "month                                     \n",
       "1991-01-31  0.044819  0.055479  0.068586  \n",
       "1991-02-28  0.034615  0.046888  0.081973  \n",
       "1991-03-31 -0.054707 -0.030694  0.028608  \n",
       "1991-04-30  0.020729  0.073833  0.090508  \n",
       "1991-05-31  0.055289  0.080639  0.202117  \n",
       "...              ...       ...       ...  \n",
       "2024-08-31 -0.012678  0.009087  0.051522  \n",
       "2024-09-30  0.262017  0.297110  0.367056  \n",
       "2024-10-31  0.100766  0.170731  0.316122  \n",
       "2024-11-30  0.078017  0.117854  0.199230  \n",
       "2024-12-31 -0.017765  0.016086  0.079173  \n",
       "\n",
       "[408 rows x 9 columns]"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "fenweishu.columns = ['one','two','three','four','five','six','seven','eight','nine']\n",
    "fenweishu"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "id": "05fbfc25-ccab-4aab-a361-af28dcee03f0",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Stkcd</th>\n",
       "      <th>Trdmnt</th>\n",
       "      <th>Opndt</th>\n",
       "      <th>Mopnprc</th>\n",
       "      <th>Clsdt</th>\n",
       "      <th>Mclsprc</th>\n",
       "      <th>Mnshrtrd</th>\n",
       "      <th>Mnvaltrd</th>\n",
       "      <th>floatingvalue</th>\n",
       "      <th>totalvalue</th>\n",
       "      <th>Ndaytrd</th>\n",
       "      <th>Return</th>\n",
       "      <th>Mretnd</th>\n",
       "      <th>Markettype</th>\n",
       "      <th>Capchgdt</th>\n",
       "      <th>Ahshrtrd_M</th>\n",
       "      <th>Ahvaltrd_M</th>\n",
       "      <th>month</th>\n",
       "      <th>rfmonth</th>\n",
       "      <th>ret</th>\n",
       "      <th>next_ret</th>\n",
       "      <th>one</th>\n",
       "      <th>two</th>\n",
       "      <th>three</th>\n",
       "      <th>four</th>\n",
       "      <th>five</th>\n",
       "      <th>six</th>\n",
       "      <th>seven</th>\n",
       "      <th>eight</th>\n",
       "      <th>nine</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-05</td>\n",
       "      <td>2</td>\n",
       "      <td>43.46</td>\n",
       "      <td>31</td>\n",
       "      <td>38.34</td>\n",
       "      <td>187800</td>\n",
       "      <td>7.675000e+06</td>\n",
       "      <td>1.016010e+09</td>\n",
       "      <td>1.859497e+09</td>\n",
       "      <td>24</td>\n",
       "      <td>-0.122253</td>\n",
       "      <td>0.235714</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-05-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.128345</td>\n",
       "      <td>-0.119551</td>\n",
       "      <td>-0.129118</td>\n",
       "      <td>-0.128345</td>\n",
       "      <td>-0.120582</td>\n",
       "      <td>-0.036993</td>\n",
       "      <td>-0.031989</td>\n",
       "      <td>-0.006657</td>\n",
       "      <td>0.055289</td>\n",
       "      <td>0.080639</td>\n",
       "      <td>0.202117</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-06</td>\n",
       "      <td>1</td>\n",
       "      <td>38.53</td>\n",
       "      <td>28</td>\n",
       "      <td>33.99</td>\n",
       "      <td>30600</td>\n",
       "      <td>1.094000e+06</td>\n",
       "      <td>9.007350e+08</td>\n",
       "      <td>1.648521e+09</td>\n",
       "      <td>23</td>\n",
       "      <td>-0.113459</td>\n",
       "      <td>-0.113459</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-06-30</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.119551</td>\n",
       "      <td>-0.137013</td>\n",
       "      <td>-0.309901</td>\n",
       "      <td>-0.119551</td>\n",
       "      <td>-0.115097</td>\n",
       "      <td>0.166237</td>\n",
       "      <td>0.177858</td>\n",
       "      <td>0.184748</td>\n",
       "      <td>0.190006</td>\n",
       "      <td>0.190283</td>\n",
       "      <td>0.201980</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-07</td>\n",
       "      <td>1</td>\n",
       "      <td>33.65</td>\n",
       "      <td>31</td>\n",
       "      <td>29.54</td>\n",
       "      <td>6100</td>\n",
       "      <td>1.940430e+05</td>\n",
       "      <td>7.828100e+08</td>\n",
       "      <td>1.432695e+09</td>\n",
       "      <td>16</td>\n",
       "      <td>-0.130921</td>\n",
       "      <td>-0.130921</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-07-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.137013</td>\n",
       "      <td>-0.417680</td>\n",
       "      <td>-0.244184</td>\n",
       "      <td>-0.128701</td>\n",
       "      <td>-0.086966</td>\n",
       "      <td>-0.052277</td>\n",
       "      <td>0.007620</td>\n",
       "      <td>0.067451</td>\n",
       "      <td>0.149691</td>\n",
       "      <td>0.216426</td>\n",
       "      <td>0.246553</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-08</td>\n",
       "      <td>1</td>\n",
       "      <td>29.39</td>\n",
       "      <td>31</td>\n",
       "      <td>15.00</td>\n",
       "      <td>3243100</td>\n",
       "      <td>4.957624e+07</td>\n",
       "      <td>6.748338e+08</td>\n",
       "      <td>1.346275e+09</td>\n",
       "      <td>15</td>\n",
       "      <td>-0.411588</td>\n",
       "      <td>-0.411587</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-08-01</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-08-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.417680</td>\n",
       "      <td>-0.039425</td>\n",
       "      <td>-0.161430</td>\n",
       "      <td>-0.110028</td>\n",
       "      <td>-0.049934</td>\n",
       "      <td>-0.014296</td>\n",
       "      <td>0.018298</td>\n",
       "      <td>0.060859</td>\n",
       "      <td>0.219168</td>\n",
       "      <td>0.233226</td>\n",
       "      <td>0.238218</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-09</td>\n",
       "      <td>2</td>\n",
       "      <td>15.00</td>\n",
       "      <td>28</td>\n",
       "      <td>14.50</td>\n",
       "      <td>7240500</td>\n",
       "      <td>1.027070e+08</td>\n",
       "      <td>6.523394e+08</td>\n",
       "      <td>1.301399e+09</td>\n",
       "      <td>24</td>\n",
       "      <td>-0.033333</td>\n",
       "      <td>-0.033333</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-08-01</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-09-30</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.039425</td>\n",
       "      <td>0.849080</td>\n",
       "      <td>-0.118675</td>\n",
       "      <td>-0.067377</td>\n",
       "      <td>-0.053691</td>\n",
       "      <td>-0.041891</td>\n",
       "      <td>-0.030783</td>\n",
       "      <td>-0.018184</td>\n",
       "      <td>0.055164</td>\n",
       "      <td>0.175783</td>\n",
       "      <td>0.190067</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
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       "      <td>...</td>\n",
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       "      <td>...</td>\n",
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       "      <td>...</td>\n",
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       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886898</th>\n",
       "      <td>920992</td>\n",
       "      <td>2024-07</td>\n",
       "      <td>1</td>\n",
       "      <td>8.56</td>\n",
       "      <td>31</td>\n",
       "      <td>8.51</td>\n",
       "      <td>20489257</td>\n",
       "      <td>1.733678e+08</td>\n",
       "      <td>2.374135e+08</td>\n",
       "      <td>8.231802e+08</td>\n",
       "      <td>23</td>\n",
       "      <td>-0.010465</td>\n",
       "      <td>-0.010465</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2024-07-31</td>\n",
       "      <td>0.001184</td>\n",
       "      <td>-0.011649</td>\n",
       "      <td>-0.038721</td>\n",
       "      <td>-0.095137</td>\n",
       "      <td>-0.058535</td>\n",
       "      <td>-0.034114</td>\n",
       "      <td>-0.015179</td>\n",
       "      <td>0.001936</td>\n",
       "      <td>0.018424</td>\n",
       "      <td>0.036850</td>\n",
       "      <td>0.061316</td>\n",
       "      <td>0.111595</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886899</th>\n",
       "      <td>920992</td>\n",
       "      <td>2024-08</td>\n",
       "      <td>1</td>\n",
       "      <td>8.50</td>\n",
       "      <td>30</td>\n",
       "      <td>8.19</td>\n",
       "      <td>14436632</td>\n",
       "      <td>1.185912e+08</td>\n",
       "      <td>2.284861e+08</td>\n",
       "      <td>7.922264e+08</td>\n",
       "      <td>22</td>\n",
       "      <td>-0.037603</td>\n",
       "      <td>-0.037603</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2024-08-31</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>-0.038721</td>\n",
       "      <td>0.276049</td>\n",
       "      <td>-0.132346</td>\n",
       "      <td>-0.099792</td>\n",
       "      <td>-0.078067</td>\n",
       "      <td>-0.059812</td>\n",
       "      <td>-0.044767</td>\n",
       "      <td>-0.028750</td>\n",
       "      <td>-0.012678</td>\n",
       "      <td>0.009087</td>\n",
       "      <td>0.051522</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886900</th>\n",
       "      <td>920992</td>\n",
       "      <td>2024-09</td>\n",
       "      <td>2</td>\n",
       "      <td>8.15</td>\n",
       "      <td>30</td>\n",
       "      <td>10.46</td>\n",
       "      <td>18109819</td>\n",
       "      <td>1.566140e+08</td>\n",
       "      <td>2.918149e+08</td>\n",
       "      <td>1.011806e+09</td>\n",
       "      <td>19</td>\n",
       "      <td>0.277167</td>\n",
       "      <td>0.277167</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2024-09-30</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>0.276049</td>\n",
       "      <td>0.389895</td>\n",
       "      <td>0.121100</td>\n",
       "      <td>0.152297</td>\n",
       "      <td>0.172952</td>\n",
       "      <td>0.191662</td>\n",
       "      <td>0.210420</td>\n",
       "      <td>0.233569</td>\n",
       "      <td>0.262017</td>\n",
       "      <td>0.297110</td>\n",
       "      <td>0.367056</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886901</th>\n",
       "      <td>920992</td>\n",
       "      <td>2024-10</td>\n",
       "      <td>8</td>\n",
       "      <td>13.02</td>\n",
       "      <td>31</td>\n",
       "      <td>14.55</td>\n",
       "      <td>86774237</td>\n",
       "      <td>1.145494e+09</td>\n",
       "      <td>4.059185e+08</td>\n",
       "      <td>1.407435e+09</td>\n",
       "      <td>18</td>\n",
       "      <td>0.391013</td>\n",
       "      <td>0.391013</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2024-10-31</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>0.389895</td>\n",
       "      <td>0.241494</td>\n",
       "      <td>-0.075368</td>\n",
       "      <td>-0.042757</td>\n",
       "      <td>-0.017695</td>\n",
       "      <td>0.006598</td>\n",
       "      <td>0.030677</td>\n",
       "      <td>0.057335</td>\n",
       "      <td>0.100766</td>\n",
       "      <td>0.170731</td>\n",
       "      <td>0.316122</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886902</th>\n",
       "      <td>920992</td>\n",
       "      <td>2024-11</td>\n",
       "      <td>1</td>\n",
       "      <td>14.69</td>\n",
       "      <td>29</td>\n",
       "      <td>18.08</td>\n",
       "      <td>130783392</td>\n",
       "      <td>2.346534e+09</td>\n",
       "      <td>5.043990e+08</td>\n",
       "      <td>1.748895e+09</td>\n",
       "      <td>21</td>\n",
       "      <td>0.242612</td>\n",
       "      <td>0.242612</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2024-11-30</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>0.241494</td>\n",
       "      <td>-0.243928</td>\n",
       "      <td>-0.084359</td>\n",
       "      <td>-0.040340</td>\n",
       "      <td>-0.012414</td>\n",
       "      <td>0.009469</td>\n",
       "      <td>0.030202</td>\n",
       "      <td>0.052640</td>\n",
       "      <td>0.078017</td>\n",
       "      <td>0.117854</td>\n",
       "      <td>0.199230</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>821324 rows × 30 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "         Stkcd   Trdmnt  Opndt  Mopnprc  Clsdt  Mclsprc   Mnshrtrd  \\\n",
       "1       000001  1991-05      2    43.46     31    38.34     187800   \n",
       "2       000001  1991-06      1    38.53     28    33.99      30600   \n",
       "3       000001  1991-07      1    33.65     31    29.54       6100   \n",
       "4       000001  1991-08      1    29.39     31    15.00    3243100   \n",
       "5       000001  1991-09      2    15.00     28    14.50    7240500   \n",
       "...        ...      ...    ...      ...    ...      ...        ...   \n",
       "886898  920992  2024-07      1     8.56     31     8.51   20489257   \n",
       "886899  920992  2024-08      1     8.50     30     8.19   14436632   \n",
       "886900  920992  2024-09      2     8.15     30    10.46   18109819   \n",
       "886901  920992  2024-10      8    13.02     31    14.55   86774237   \n",
       "886902  920992  2024-11      1    14.69     29    18.08  130783392   \n",
       "\n",
       "            Mnvaltrd  floatingvalue    totalvalue  Ndaytrd    Return  \\\n",
       "1       7.675000e+06   1.016010e+09  1.859497e+09       24 -0.122253   \n",
       "2       1.094000e+06   9.007350e+08  1.648521e+09       23 -0.113459   \n",
       "3       1.940430e+05   7.828100e+08  1.432695e+09       16 -0.130921   \n",
       "4       4.957624e+07   6.748338e+08  1.346275e+09       15 -0.411588   \n",
       "5       1.027070e+08   6.523394e+08  1.301399e+09       24 -0.033333   \n",
       "...              ...            ...           ...      ...       ...   \n",
       "886898  1.733678e+08   2.374135e+08  8.231802e+08       23 -0.010465   \n",
       "886899  1.185912e+08   2.284861e+08  7.922264e+08       22 -0.037603   \n",
       "886900  1.566140e+08   2.918149e+08  1.011806e+09       19  0.277167   \n",
       "886901  1.145494e+09   4.059185e+08  1.407435e+09       18  0.391013   \n",
       "886902  2.346534e+09   5.043990e+08  1.748895e+09       21  0.242612   \n",
       "\n",
       "          Mretnd  Markettype    Capchgdt  Ahshrtrd_M  Ahvaltrd_M      month  \\\n",
       "1       0.235714           4  1991-04-03         NaN         NaN 1991-05-31   \n",
       "2      -0.113459           4  1991-04-03         NaN         NaN 1991-06-30   \n",
       "3      -0.130921           4  1991-04-03         NaN         NaN 1991-07-31   \n",
       "4      -0.411587           4  1991-08-01         NaN         NaN 1991-08-31   \n",
       "5      -0.033333           4  1991-08-01         NaN         NaN 1991-09-30   \n",
       "...          ...         ...         ...         ...         ...        ...   \n",
       "886898 -0.010465          64  2023-04-25         0.0         0.0 2024-07-31   \n",
       "886899 -0.037603          64  2023-04-25         0.0         0.0 2024-08-31   \n",
       "886900  0.277167          64  2023-04-25         0.0         0.0 2024-09-30   \n",
       "886901  0.391013          64  2023-04-25         0.0         0.0 2024-10-31   \n",
       "886902  0.242612          64  2023-04-25         0.0         0.0 2024-11-30   \n",
       "\n",
       "         rfmonth       ret  next_ret       one       two     three      four  \\\n",
       "1       0.006092 -0.128345 -0.119551 -0.129118 -0.128345 -0.120582 -0.036993   \n",
       "2       0.006092 -0.119551 -0.137013 -0.309901 -0.119551 -0.115097  0.166237   \n",
       "3       0.006092 -0.137013 -0.417680 -0.244184 -0.128701 -0.086966 -0.052277   \n",
       "4       0.006092 -0.417680 -0.039425 -0.161430 -0.110028 -0.049934 -0.014296   \n",
       "5       0.006092 -0.039425  0.849080 -0.118675 -0.067377 -0.053691 -0.041891   \n",
       "...          ...       ...       ...       ...       ...       ...       ...   \n",
       "886898  0.001184 -0.011649 -0.038721 -0.095137 -0.058535 -0.034114 -0.015179   \n",
       "886899  0.001118 -0.038721  0.276049 -0.132346 -0.099792 -0.078067 -0.059812   \n",
       "886900  0.001118  0.276049  0.389895  0.121100  0.152297  0.172952  0.191662   \n",
       "886901  0.001118  0.389895  0.241494 -0.075368 -0.042757 -0.017695  0.006598   \n",
       "886902  0.001118  0.241494 -0.243928 -0.084359 -0.040340 -0.012414  0.009469   \n",
       "\n",
       "            five       six     seven     eight      nine  \n",
       "1      -0.031989 -0.006657  0.055289  0.080639  0.202117  \n",
       "2       0.177858  0.184748  0.190006  0.190283  0.201980  \n",
       "3       0.007620  0.067451  0.149691  0.216426  0.246553  \n",
       "4       0.018298  0.060859  0.219168  0.233226  0.238218  \n",
       "5      -0.030783 -0.018184  0.055164  0.175783  0.190067  \n",
       "...          ...       ...       ...       ...       ...  \n",
       "886898  0.001936  0.018424  0.036850  0.061316  0.111595  \n",
       "886899 -0.044767 -0.028750 -0.012678  0.009087  0.051522  \n",
       "886900  0.210420  0.233569  0.262017  0.297110  0.367056  \n",
       "886901  0.030677  0.057335  0.100766  0.170731  0.316122  \n",
       "886902  0.030202  0.052640  0.078017  0.117854  0.199230  \n",
       "\n",
       "[821324 rows x 30 columns]"
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "portfolio = pd.merge(cross,fenweishu,on='month',how='left')\n",
    "portfolio = portfolio.dropna(subset=['ret','next_ret'])\n",
    "portfolio"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "id": "95600979-14c6-4d31-832d-295f338903c9",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "<style scoped>\n",
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       "\n",
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       "    }\n",
       "\n",
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       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Stkcd</th>\n",
       "      <th>Trdmnt</th>\n",
       "      <th>Opndt</th>\n",
       "      <th>Mopnprc</th>\n",
       "      <th>Clsdt</th>\n",
       "      <th>Mclsprc</th>\n",
       "      <th>Mnshrtrd</th>\n",
       "      <th>Mnvaltrd</th>\n",
       "      <th>floatingvalue</th>\n",
       "      <th>totalvalue</th>\n",
       "      <th>Ndaytrd</th>\n",
       "      <th>Return</th>\n",
       "      <th>Mretnd</th>\n",
       "      <th>Markettype</th>\n",
       "      <th>Capchgdt</th>\n",
       "      <th>Ahshrtrd_M</th>\n",
       "      <th>Ahvaltrd_M</th>\n",
       "      <th>month</th>\n",
       "      <th>rfmonth</th>\n",
       "      <th>ret</th>\n",
       "      <th>next_ret</th>\n",
       "      <th>one</th>\n",
       "      <th>two</th>\n",
       "      <th>three</th>\n",
       "      <th>four</th>\n",
       "      <th>five</th>\n",
       "      <th>six</th>\n",
       "      <th>seven</th>\n",
       "      <th>eight</th>\n",
       "      <th>nine</th>\n",
       "      <th>sort</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-05</td>\n",
       "      <td>2</td>\n",
       "      <td>43.46</td>\n",
       "      <td>31</td>\n",
       "      <td>38.34</td>\n",
       "      <td>187800</td>\n",
       "      <td>7.675000e+06</td>\n",
       "      <td>1.016010e+09</td>\n",
       "      <td>1.859497e+09</td>\n",
       "      <td>24</td>\n",
       "      <td>-0.122253</td>\n",
       "      <td>0.235714</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-05-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.128345</td>\n",
       "      <td>-0.119551</td>\n",
       "      <td>-0.129118</td>\n",
       "      <td>-0.128345</td>\n",
       "      <td>-0.120582</td>\n",
       "      <td>-0.036993</td>\n",
       "      <td>-0.031989</td>\n",
       "      <td>-0.006657</td>\n",
       "      <td>0.055289</td>\n",
       "      <td>0.080639</td>\n",
       "      <td>0.202117</td>\n",
       "      <td>P2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-06</td>\n",
       "      <td>1</td>\n",
       "      <td>38.53</td>\n",
       "      <td>28</td>\n",
       "      <td>33.99</td>\n",
       "      <td>30600</td>\n",
       "      <td>1.094000e+06</td>\n",
       "      <td>9.007350e+08</td>\n",
       "      <td>1.648521e+09</td>\n",
       "      <td>23</td>\n",
       "      <td>-0.113459</td>\n",
       "      <td>-0.113459</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-06-30</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.119551</td>\n",
       "      <td>-0.137013</td>\n",
       "      <td>-0.309901</td>\n",
       "      <td>-0.119551</td>\n",
       "      <td>-0.115097</td>\n",
       "      <td>0.166237</td>\n",
       "      <td>0.177858</td>\n",
       "      <td>0.184748</td>\n",
       "      <td>0.190006</td>\n",
       "      <td>0.190283</td>\n",
       "      <td>0.201980</td>\n",
       "      <td>P2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-07</td>\n",
       "      <td>1</td>\n",
       "      <td>33.65</td>\n",
       "      <td>31</td>\n",
       "      <td>29.54</td>\n",
       "      <td>6100</td>\n",
       "      <td>1.940430e+05</td>\n",
       "      <td>7.828100e+08</td>\n",
       "      <td>1.432695e+09</td>\n",
       "      <td>16</td>\n",
       "      <td>-0.130921</td>\n",
       "      <td>-0.130921</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-04-03</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-07-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.137013</td>\n",
       "      <td>-0.417680</td>\n",
       "      <td>-0.244184</td>\n",
       "      <td>-0.128701</td>\n",
       "      <td>-0.086966</td>\n",
       "      <td>-0.052277</td>\n",
       "      <td>0.007620</td>\n",
       "      <td>0.067451</td>\n",
       "      <td>0.149691</td>\n",
       "      <td>0.216426</td>\n",
       "      <td>0.246553</td>\n",
       "      <td>P2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-08</td>\n",
       "      <td>1</td>\n",
       "      <td>29.39</td>\n",
       "      <td>31</td>\n",
       "      <td>15.00</td>\n",
       "      <td>3243100</td>\n",
       "      <td>4.957624e+07</td>\n",
       "      <td>6.748338e+08</td>\n",
       "      <td>1.346275e+09</td>\n",
       "      <td>15</td>\n",
       "      <td>-0.411588</td>\n",
       "      <td>-0.411587</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-08-01</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-08-31</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.417680</td>\n",
       "      <td>-0.039425</td>\n",
       "      <td>-0.161430</td>\n",
       "      <td>-0.110028</td>\n",
       "      <td>-0.049934</td>\n",
       "      <td>-0.014296</td>\n",
       "      <td>0.018298</td>\n",
       "      <td>0.060859</td>\n",
       "      <td>0.219168</td>\n",
       "      <td>0.233226</td>\n",
       "      <td>0.238218</td>\n",
       "      <td>P1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>000001</td>\n",
       "      <td>1991-09</td>\n",
       "      <td>2</td>\n",
       "      <td>15.00</td>\n",
       "      <td>28</td>\n",
       "      <td>14.50</td>\n",
       "      <td>7240500</td>\n",
       "      <td>1.027070e+08</td>\n",
       "      <td>6.523394e+08</td>\n",
       "      <td>1.301399e+09</td>\n",
       "      <td>24</td>\n",
       "      <td>-0.033333</td>\n",
       "      <td>-0.033333</td>\n",
       "      <td>4</td>\n",
       "      <td>1991-08-01</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>1991-09-30</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.039425</td>\n",
       "      <td>0.849080</td>\n",
       "      <td>-0.118675</td>\n",
       "      <td>-0.067377</td>\n",
       "      <td>-0.053691</td>\n",
       "      <td>-0.041891</td>\n",
       "      <td>-0.030783</td>\n",
       "      <td>-0.018184</td>\n",
       "      <td>0.055164</td>\n",
       "      <td>0.175783</td>\n",
       "      <td>0.190067</td>\n",
       "      <td>P5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886898</th>\n",
       "      <td>920992</td>\n",
       "      <td>2024-07</td>\n",
       "      <td>1</td>\n",
       "      <td>8.56</td>\n",
       "      <td>31</td>\n",
       "      <td>8.51</td>\n",
       "      <td>20489257</td>\n",
       "      <td>1.733678e+08</td>\n",
       "      <td>2.374135e+08</td>\n",
       "      <td>8.231802e+08</td>\n",
       "      <td>23</td>\n",
       "      <td>-0.010465</td>\n",
       "      <td>-0.010465</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2024-07-31</td>\n",
       "      <td>0.001184</td>\n",
       "      <td>-0.011649</td>\n",
       "      <td>-0.038721</td>\n",
       "      <td>-0.095137</td>\n",
       "      <td>-0.058535</td>\n",
       "      <td>-0.034114</td>\n",
       "      <td>-0.015179</td>\n",
       "      <td>0.001936</td>\n",
       "      <td>0.018424</td>\n",
       "      <td>0.036850</td>\n",
       "      <td>0.061316</td>\n",
       "      <td>0.111595</td>\n",
       "      <td>P5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886899</th>\n",
       "      <td>920992</td>\n",
       "      <td>2024-08</td>\n",
       "      <td>1</td>\n",
       "      <td>8.50</td>\n",
       "      <td>30</td>\n",
       "      <td>8.19</td>\n",
       "      <td>14436632</td>\n",
       "      <td>1.185912e+08</td>\n",
       "      <td>2.284861e+08</td>\n",
       "      <td>7.922264e+08</td>\n",
       "      <td>22</td>\n",
       "      <td>-0.037603</td>\n",
       "      <td>-0.037603</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2024-08-31</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>-0.038721</td>\n",
       "      <td>0.276049</td>\n",
       "      <td>-0.132346</td>\n",
       "      <td>-0.099792</td>\n",
       "      <td>-0.078067</td>\n",
       "      <td>-0.059812</td>\n",
       "      <td>-0.044767</td>\n",
       "      <td>-0.028750</td>\n",
       "      <td>-0.012678</td>\n",
       "      <td>0.009087</td>\n",
       "      <td>0.051522</td>\n",
       "      <td>P6</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886900</th>\n",
       "      <td>920992</td>\n",
       "      <td>2024-09</td>\n",
       "      <td>2</td>\n",
       "      <td>8.15</td>\n",
       "      <td>30</td>\n",
       "      <td>10.46</td>\n",
       "      <td>18109819</td>\n",
       "      <td>1.566140e+08</td>\n",
       "      <td>2.918149e+08</td>\n",
       "      <td>1.011806e+09</td>\n",
       "      <td>19</td>\n",
       "      <td>0.277167</td>\n",
       "      <td>0.277167</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2024-09-30</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>0.276049</td>\n",
       "      <td>0.389895</td>\n",
       "      <td>0.121100</td>\n",
       "      <td>0.152297</td>\n",
       "      <td>0.172952</td>\n",
       "      <td>0.191662</td>\n",
       "      <td>0.210420</td>\n",
       "      <td>0.233569</td>\n",
       "      <td>0.262017</td>\n",
       "      <td>0.297110</td>\n",
       "      <td>0.367056</td>\n",
       "      <td>P8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886901</th>\n",
       "      <td>920992</td>\n",
       "      <td>2024-10</td>\n",
       "      <td>8</td>\n",
       "      <td>13.02</td>\n",
       "      <td>31</td>\n",
       "      <td>14.55</td>\n",
       "      <td>86774237</td>\n",
       "      <td>1.145494e+09</td>\n",
       "      <td>4.059185e+08</td>\n",
       "      <td>1.407435e+09</td>\n",
       "      <td>18</td>\n",
       "      <td>0.391013</td>\n",
       "      <td>0.391013</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2024-10-31</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>0.389895</td>\n",
       "      <td>0.241494</td>\n",
       "      <td>-0.075368</td>\n",
       "      <td>-0.042757</td>\n",
       "      <td>-0.017695</td>\n",
       "      <td>0.006598</td>\n",
       "      <td>0.030677</td>\n",
       "      <td>0.057335</td>\n",
       "      <td>0.100766</td>\n",
       "      <td>0.170731</td>\n",
       "      <td>0.316122</td>\n",
       "      <td>Pmax</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>886902</th>\n",
       "      <td>920992</td>\n",
       "      <td>2024-11</td>\n",
       "      <td>1</td>\n",
       "      <td>14.69</td>\n",
       "      <td>29</td>\n",
       "      <td>18.08</td>\n",
       "      <td>130783392</td>\n",
       "      <td>2.346534e+09</td>\n",
       "      <td>5.043990e+08</td>\n",
       "      <td>1.748895e+09</td>\n",
       "      <td>21</td>\n",
       "      <td>0.242612</td>\n",
       "      <td>0.242612</td>\n",
       "      <td>64</td>\n",
       "      <td>2023-04-25</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>2024-11-30</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>0.241494</td>\n",
       "      <td>-0.243928</td>\n",
       "      <td>-0.084359</td>\n",
       "      <td>-0.040340</td>\n",
       "      <td>-0.012414</td>\n",
       "      <td>0.009469</td>\n",
       "      <td>0.030202</td>\n",
       "      <td>0.052640</td>\n",
       "      <td>0.078017</td>\n",
       "      <td>0.117854</td>\n",
       "      <td>0.199230</td>\n",
       "      <td>Pmax</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>821324 rows × 31 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "         Stkcd   Trdmnt  Opndt  Mopnprc  Clsdt  Mclsprc   Mnshrtrd  \\\n",
       "1       000001  1991-05      2    43.46     31    38.34     187800   \n",
       "2       000001  1991-06      1    38.53     28    33.99      30600   \n",
       "3       000001  1991-07      1    33.65     31    29.54       6100   \n",
       "4       000001  1991-08      1    29.39     31    15.00    3243100   \n",
       "5       000001  1991-09      2    15.00     28    14.50    7240500   \n",
       "...        ...      ...    ...      ...    ...      ...        ...   \n",
       "886898  920992  2024-07      1     8.56     31     8.51   20489257   \n",
       "886899  920992  2024-08      1     8.50     30     8.19   14436632   \n",
       "886900  920992  2024-09      2     8.15     30    10.46   18109819   \n",
       "886901  920992  2024-10      8    13.02     31    14.55   86774237   \n",
       "886902  920992  2024-11      1    14.69     29    18.08  130783392   \n",
       "\n",
       "            Mnvaltrd  floatingvalue    totalvalue  Ndaytrd    Return  \\\n",
       "1       7.675000e+06   1.016010e+09  1.859497e+09       24 -0.122253   \n",
       "2       1.094000e+06   9.007350e+08  1.648521e+09       23 -0.113459   \n",
       "3       1.940430e+05   7.828100e+08  1.432695e+09       16 -0.130921   \n",
       "4       4.957624e+07   6.748338e+08  1.346275e+09       15 -0.411588   \n",
       "5       1.027070e+08   6.523394e+08  1.301399e+09       24 -0.033333   \n",
       "...              ...            ...           ...      ...       ...   \n",
       "886898  1.733678e+08   2.374135e+08  8.231802e+08       23 -0.010465   \n",
       "886899  1.185912e+08   2.284861e+08  7.922264e+08       22 -0.037603   \n",
       "886900  1.566140e+08   2.918149e+08  1.011806e+09       19  0.277167   \n",
       "886901  1.145494e+09   4.059185e+08  1.407435e+09       18  0.391013   \n",
       "886902  2.346534e+09   5.043990e+08  1.748895e+09       21  0.242612   \n",
       "\n",
       "          Mretnd  Markettype    Capchgdt  Ahshrtrd_M  Ahvaltrd_M      month  \\\n",
       "1       0.235714           4  1991-04-03         NaN         NaN 1991-05-31   \n",
       "2      -0.113459           4  1991-04-03         NaN         NaN 1991-06-30   \n",
       "3      -0.130921           4  1991-04-03         NaN         NaN 1991-07-31   \n",
       "4      -0.411587           4  1991-08-01         NaN         NaN 1991-08-31   \n",
       "5      -0.033333           4  1991-08-01         NaN         NaN 1991-09-30   \n",
       "...          ...         ...         ...         ...         ...        ...   \n",
       "886898 -0.010465          64  2023-04-25         0.0         0.0 2024-07-31   \n",
       "886899 -0.037603          64  2023-04-25         0.0         0.0 2024-08-31   \n",
       "886900  0.277167          64  2023-04-25         0.0         0.0 2024-09-30   \n",
       "886901  0.391013          64  2023-04-25         0.0         0.0 2024-10-31   \n",
       "886902  0.242612          64  2023-04-25         0.0         0.0 2024-11-30   \n",
       "\n",
       "         rfmonth       ret  next_ret       one       two     three      four  \\\n",
       "1       0.006092 -0.128345 -0.119551 -0.129118 -0.128345 -0.120582 -0.036993   \n",
       "2       0.006092 -0.119551 -0.137013 -0.309901 -0.119551 -0.115097  0.166237   \n",
       "3       0.006092 -0.137013 -0.417680 -0.244184 -0.128701 -0.086966 -0.052277   \n",
       "4       0.006092 -0.417680 -0.039425 -0.161430 -0.110028 -0.049934 -0.014296   \n",
       "5       0.006092 -0.039425  0.849080 -0.118675 -0.067377 -0.053691 -0.041891   \n",
       "...          ...       ...       ...       ...       ...       ...       ...   \n",
       "886898  0.001184 -0.011649 -0.038721 -0.095137 -0.058535 -0.034114 -0.015179   \n",
       "886899  0.001118 -0.038721  0.276049 -0.132346 -0.099792 -0.078067 -0.059812   \n",
       "886900  0.001118  0.276049  0.389895  0.121100  0.152297  0.172952  0.191662   \n",
       "886901  0.001118  0.389895  0.241494 -0.075368 -0.042757 -0.017695  0.006598   \n",
       "886902  0.001118  0.241494 -0.243928 -0.084359 -0.040340 -0.012414  0.009469   \n",
       "\n",
       "            five       six     seven     eight      nine  sort  \n",
       "1      -0.031989 -0.006657  0.055289  0.080639  0.202117    P2  \n",
       "2       0.177858  0.184748  0.190006  0.190283  0.201980    P2  \n",
       "3       0.007620  0.067451  0.149691  0.216426  0.246553    P2  \n",
       "4       0.018298  0.060859  0.219168  0.233226  0.238218    P1  \n",
       "5      -0.030783 -0.018184  0.055164  0.175783  0.190067    P5  \n",
       "...          ...       ...       ...       ...       ...   ...  \n",
       "886898  0.001936  0.018424  0.036850  0.061316  0.111595    P5  \n",
       "886899 -0.044767 -0.028750 -0.012678  0.009087  0.051522    P6  \n",
       "886900  0.210420  0.233569  0.262017  0.297110  0.367056    P8  \n",
       "886901  0.030677  0.057335  0.100766  0.170731  0.316122  Pmax  \n",
       "886902  0.030202  0.052640  0.078017  0.117854  0.199230  Pmax  \n",
       "\n",
       "[821324 rows x 31 columns]"
      ]
     },
     "execution_count": 11,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "portfolio['sort'] = np.where(\n",
    "    portfolio['ret'] <= portfolio['one'], 'P1',\n",
    "    np.where(\n",
    "        portfolio['ret'] <= portfolio['two'], 'P2',\n",
    "        np.where(\n",
    "            portfolio['ret'] <= portfolio['three'], 'P3',\n",
    "            np.where(\n",
    "                portfolio['ret'] <= portfolio['four'], 'P4',\n",
    "                np.where(\n",
    "                    portfolio['ret'] <= portfolio['five'], 'P5',\n",
    "                    np.where(\n",
    "                        portfolio['ret'] <= portfolio['six'], 'P6',\n",
    "                        np.where(\n",
    "                            portfolio['ret'] <= portfolio['seven'], 'P7',\n",
    "                            np.where(\n",
    "                                portfolio['ret'] <= portfolio['eight'], 'P8',\n",
    "                                np.where(\n",
    "                                    portfolio['ret'] <= portfolio['nine'],\n",
    "                                    'P9', 'Pmax')))))))))\n",
    "portfolio"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "id": "0fc02a08-636e-4ce6-8ffd-281077a7d55e",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th>sort</th>\n",
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       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">1991-01-31</th>\n",
       "      <th>P1</th>\n",
       "      <td>-0.041567</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>P2</th>\n",
       "      <td>0.010496</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>P4</th>\n",
       "      <td>0.038284</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>P6</th>\n",
       "      <td>0.081305</td>\n",
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       "    <tr>\n",
       "      <th>P8</th>\n",
       "      <td>0.028134</td>\n",
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       "      <th>...</th>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
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       "    <tr>\n",
       "      <th rowspan=\"5\" valign=\"top\">2024-11-30</th>\n",
       "      <th>P6</th>\n",
       "      <td>0.013224</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>P7</th>\n",
       "      <td>-0.014391</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>P8</th>\n",
       "      <td>-0.039313</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>P9</th>\n",
       "      <td>-0.063706</td>\n",
       "    </tr>\n",
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       "      <th>Pmax</th>\n",
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       "  </tbody>\n",
       "</table>\n",
       "<p>4066 rows × 1 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                        0\n",
       "month      sort          \n",
       "1991-01-31 P1   -0.041567\n",
       "           P2    0.010496\n",
       "           P4    0.038284\n",
       "           P6    0.081305\n",
       "           P8    0.028134\n",
       "...                   ...\n",
       "2024-11-30 P6    0.013224\n",
       "           P7   -0.014391\n",
       "           P8   -0.039313\n",
       "           P9   -0.063706\n",
       "           Pmax -0.075116\n",
       "\n",
       "[4066 rows x 1 columns]"
      ]
     },
     "execution_count": 12,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "portfolio_mom =  pd.DataFrame(\n",
    "    portfolio.groupby(['month','sort']).apply(lambda x: np.average(x['next_ret'],weights = x['floatingvalue']),include_groups=False))\n",
    "portfolio_mom"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "id": "851c9774-ca5b-4269-84ac-90f2642551f8",
   "metadata": {},
   "outputs": [
    {
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       "      <th>4062</th>\n",
       "      <td>2024-11-30</td>\n",
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       "      <th>4064</th>\n",
       "      <td>2024-11-30</td>\n",
       "      <td>P9</td>\n",
       "      <td>-0.063706</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4065</th>\n",
       "      <td>2024-11-30</td>\n",
       "      <td>Pmax</td>\n",
       "      <td>-0.075116</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>4066 rows × 3 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "          month  sort         p\n",
       "0    1991-01-31    P1 -0.041567\n",
       "1    1991-01-31    P2  0.010496\n",
       "2    1991-01-31    P4  0.038284\n",
       "3    1991-01-31    P6  0.081305\n",
       "4    1991-01-31    P8  0.028134\n",
       "...         ...   ...       ...\n",
       "4061 2024-11-30    P6  0.013224\n",
       "4062 2024-11-30    P7 -0.014391\n",
       "4063 2024-11-30    P8 -0.039313\n",
       "4064 2024-11-30    P9 -0.063706\n",
       "4065 2024-11-30  Pmax -0.075116\n",
       "\n",
       "[4066 rows x 3 columns]"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "portfolio_mom = portfolio_mom.reset_index()\n",
    "portfolio_mom.columns = ['month', 'sort', 'p']\n",
    "portfolio_mom"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "id": "9be02cfb-2a9b-4dfe-91d5-7bdc3f73636f",
   "metadata": {},
   "outputs": [
    {
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       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>1991-02-28</td>\n",
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       "    <tr>\n",
       "      <th>4063</th>\n",
       "      <td>2024-12-31</td>\n",
       "      <td>P8</td>\n",
       "      <td>-0.039313</td>\n",
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       "    <tr>\n",
       "      <th>4064</th>\n",
       "      <td>2024-12-31</td>\n",
       "      <td>P9</td>\n",
       "      <td>-0.063706</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4065</th>\n",
       "      <td>2024-12-31</td>\n",
       "      <td>Pmax</td>\n",
       "      <td>-0.075116</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>4066 rows × 3 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "          month  sort         p\n",
       "0    1991-02-28    P1 -0.041567\n",
       "1    1991-02-28    P2  0.010496\n",
       "2    1991-02-28    P4  0.038284\n",
       "3    1991-02-28    P6  0.081305\n",
       "4    1991-02-28    P8  0.028134\n",
       "...         ...   ...       ...\n",
       "4061 2024-12-31    P6  0.013224\n",
       "4062 2024-12-31    P7 -0.014391\n",
       "4063 2024-12-31    P8 -0.039313\n",
       "4064 2024-12-31    P9 -0.063706\n",
       "4065 2024-12-31  Pmax -0.075116\n",
       "\n",
       "[4066 rows x 3 columns]"
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Month plus one month \n",
    "portfolio_mom['month'] = portfolio_mom['month'] + MonthEnd(1)\n",
    "# drop NA\n",
    "portfolio_mom = portfolio_mom.dropna()\n",
    "portfolio_mom"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "id": "cb16f735-43b2-40fc-a262-161bc550b8e4",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "    <tr>\n",
       "      <th>month</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1991-02-28</th>\n",
       "      <td>-0.041567</td>\n",
       "      <td>0.010496</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.038284</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.081305</td>\n",
       "      <td>NaN</td>\n",
       "      <td>0.028134</td>\n",
       "      <td>NaN</td>\n",
       "      <td>-0.002070</td>\n",
       "      <td>-0.039497</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-03-31</th>\n",
       "      <td>-0.133253</td>\n",
       "      <td>-0.069140</td>\n",
       "      <td>-0.133293</td>\n",
       "      <td>0.023904</td>\n",
       "      <td>-0.125264</td>\n",
       "      <td>0.070941</td>\n",
       "      <td>-0.133504</td>\n",
       "      <td>-0.044343</td>\n",
       "      <td>-0.070455</td>\n",
       "      <td>-0.059149</td>\n",
       "      <td>-0.074104</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-04-30</th>\n",
       "      <td>-0.122736</td>\n",
       "      <td>-0.123391</td>\n",
       "      <td>-0.103582</td>\n",
       "      <td>-0.077512</td>\n",
       "      <td>-0.133193</td>\n",
       "      <td>-0.000595</td>\n",
       "      <td>0.070484</td>\n",
       "      <td>-0.097744</td>\n",
       "      <td>0.120035</td>\n",
       "      <td>0.087227</td>\n",
       "      <td>-0.209963</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-05-31</th>\n",
       "      <td>-0.006657</td>\n",
       "      <td>-0.129118</td>\n",
       "      <td>-0.036993</td>\n",
       "      <td>-0.120582</td>\n",
       "      <td>-0.130814</td>\n",
       "      <td>-0.031989</td>\n",
       "      <td>0.080639</td>\n",
       "      <td>0.055289</td>\n",
       "      <td>0.202117</td>\n",
       "      <td>0.238572</td>\n",
       "      <td>-0.245229</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-06-30</th>\n",
       "      <td>-0.093032</td>\n",
       "      <td>-0.119551</td>\n",
       "      <td>-0.460637</td>\n",
       "      <td>-0.309901</td>\n",
       "      <td>0.190006</td>\n",
       "      <td>0.177858</td>\n",
       "      <td>0.213185</td>\n",
       "      <td>0.190283</td>\n",
       "      <td>0.166237</td>\n",
       "      <td>0.201980</td>\n",
       "      <td>-0.295012</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-08-31</th>\n",
       "      <td>-0.045370</td>\n",
       "      <td>-0.039031</td>\n",
       "      <td>-0.039789</td>\n",
       "      <td>-0.014291</td>\n",
       "      <td>-0.037746</td>\n",
       "      <td>-0.032279</td>\n",
       "      <td>-0.039920</td>\n",
       "      <td>-0.022724</td>\n",
       "      <td>-0.027649</td>\n",
       "      <td>-0.073343</td>\n",
       "      <td>0.027973</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-30</th>\n",
       "      <td>0.270886</td>\n",
       "      <td>0.256217</td>\n",
       "      <td>0.229362</td>\n",
       "      <td>0.215553</td>\n",
       "      <td>0.222274</td>\n",
       "      <td>0.208572</td>\n",
       "      <td>0.158399</td>\n",
       "      <td>0.196238</td>\n",
       "      <td>0.151909</td>\n",
       "      <td>0.187023</td>\n",
       "      <td>0.083862</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-10-31</th>\n",
       "      <td>-0.039394</td>\n",
       "      <td>-0.003047</td>\n",
       "      <td>-0.003911</td>\n",
       "      <td>0.012068</td>\n",
       "      <td>-0.025691</td>\n",
       "      <td>0.003557</td>\n",
       "      <td>0.021287</td>\n",
       "      <td>0.038553</td>\n",
       "      <td>-0.006242</td>\n",
       "      <td>0.092651</td>\n",
       "      <td>-0.132045</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-11-30</th>\n",
       "      <td>0.010205</td>\n",
       "      <td>0.011985</td>\n",
       "      <td>0.018754</td>\n",
       "      <td>0.012845</td>\n",
       "      <td>0.020719</td>\n",
       "      <td>0.044204</td>\n",
       "      <td>0.058569</td>\n",
       "      <td>0.034311</td>\n",
       "      <td>0.000472</td>\n",
       "      <td>-0.090222</td>\n",
       "      <td>0.100427</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-12-31</th>\n",
       "      <td>-0.040312</td>\n",
       "      <td>-0.010616</td>\n",
       "      <td>0.006970</td>\n",
       "      <td>0.010812</td>\n",
       "      <td>0.031850</td>\n",
       "      <td>0.013224</td>\n",
       "      <td>-0.014391</td>\n",
       "      <td>-0.039313</td>\n",
       "      <td>-0.063706</td>\n",
       "      <td>-0.075116</td>\n",
       "      <td>0.034804</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>407 rows × 11 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "sort              P1        P2        P3        P4        P5        P6  \\\n",
       "month                                                                    \n",
       "1991-02-28 -0.041567  0.010496       NaN  0.038284       NaN  0.081305   \n",
       "1991-03-31 -0.133253 -0.069140 -0.133293  0.023904 -0.125264  0.070941   \n",
       "1991-04-30 -0.122736 -0.123391 -0.103582 -0.077512 -0.133193 -0.000595   \n",
       "1991-05-31 -0.006657 -0.129118 -0.036993 -0.120582 -0.130814 -0.031989   \n",
       "1991-06-30 -0.093032 -0.119551 -0.460637 -0.309901  0.190006  0.177858   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2024-08-31 -0.045370 -0.039031 -0.039789 -0.014291 -0.037746 -0.032279   \n",
       "2024-09-30  0.270886  0.256217  0.229362  0.215553  0.222274  0.208572   \n",
       "2024-10-31 -0.039394 -0.003047 -0.003911  0.012068 -0.025691  0.003557   \n",
       "2024-11-30  0.010205  0.011985  0.018754  0.012845  0.020719  0.044204   \n",
       "2024-12-31 -0.040312 -0.010616  0.006970  0.010812  0.031850  0.013224   \n",
       "\n",
       "sort              P7        P8        P9      Pmax  My_portfolio  \n",
       "month                                                             \n",
       "1991-02-28       NaN  0.028134       NaN -0.002070     -0.039497  \n",
       "1991-03-31 -0.133504 -0.044343 -0.070455 -0.059149     -0.074104  \n",
       "1991-04-30  0.070484 -0.097744  0.120035  0.087227     -0.209963  \n",
       "1991-05-31  0.080639  0.055289  0.202117  0.238572     -0.245229  \n",
       "1991-06-30  0.213185  0.190283  0.166237  0.201980     -0.295012  \n",
       "...              ...       ...       ...       ...           ...  \n",
       "2024-08-31 -0.039920 -0.022724 -0.027649 -0.073343      0.027973  \n",
       "2024-09-30  0.158399  0.196238  0.151909  0.187023      0.083862  \n",
       "2024-10-31  0.021287  0.038553 -0.006242  0.092651     -0.132045  \n",
       "2024-11-30  0.058569  0.034311  0.000472 -0.090222      0.100427  \n",
       "2024-12-31 -0.014391 -0.039313 -0.063706 -0.075116      0.034804  \n",
       "\n",
       "[407 rows x 11 columns]"
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "portfolio_mom = portfolio_mom.pivot_table(index='month',\n",
    "                                                    columns='sort',\n",
    "                                                    values='p')\n",
    "# long lowest return stocks and short highest return stocks\n",
    "portfolio_mom['My_portfolio'] = portfolio_mom['P1'] - portfolio_mom['Pmax']\n",
    "portfolio_mom"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "id": "5d6536a9-356a-422e-a108-8c0b58c68568",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th>sort</th>\n",
       "      <th>P1</th>\n",
       "      <th>P2</th>\n",
       "      <th>P3</th>\n",
       "      <th>P4</th>\n",
       "      <th>P5</th>\n",
       "      <th>P6</th>\n",
       "      <th>P7</th>\n",
       "      <th>P8</th>\n",
       "      <th>P9</th>\n",
       "      <th>Pmax</th>\n",
       "      <th>My_portfolio</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>month</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1996-12-31</th>\n",
       "      <td>-0.170922</td>\n",
       "      <td>-0.182215</td>\n",
       "      <td>-0.117995</td>\n",
       "      <td>-0.128620</td>\n",
       "      <td>-0.181150</td>\n",
       "      <td>-0.188288</td>\n",
       "      <td>-0.201253</td>\n",
       "      <td>-0.242595</td>\n",
       "      <td>-0.204720</td>\n",
       "      <td>-0.156775</td>\n",
       "      <td>-0.014147</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1997-01-31</th>\n",
       "      <td>0.144248</td>\n",
       "      <td>0.092804</td>\n",
       "      <td>0.061656</td>\n",
       "      <td>0.072516</td>\n",
       "      <td>0.069617</td>\n",
       "      <td>0.035909</td>\n",
       "      <td>0.118907</td>\n",
       "      <td>0.076467</td>\n",
       "      <td>0.087445</td>\n",
       "      <td>0.044670</td>\n",
       "      <td>0.099578</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1997-02-28</th>\n",
       "      <td>0.024746</td>\n",
       "      <td>0.039335</td>\n",
       "      <td>0.061304</td>\n",
       "      <td>0.052181</td>\n",
       "      <td>0.051162</td>\n",
       "      <td>0.048680</td>\n",
       "      <td>0.043183</td>\n",
       "      <td>0.059211</td>\n",
       "      <td>0.049503</td>\n",
       "      <td>0.039668</td>\n",
       "      <td>-0.014922</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1997-03-31</th>\n",
       "      <td>0.125276</td>\n",
       "      <td>0.171419</td>\n",
       "      <td>0.248178</td>\n",
       "      <td>0.193001</td>\n",
       "      <td>0.150734</td>\n",
       "      <td>0.169974</td>\n",
       "      <td>0.185415</td>\n",
       "      <td>0.217124</td>\n",
       "      <td>0.257199</td>\n",
       "      <td>0.171780</td>\n",
       "      <td>-0.046504</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1997-04-30</th>\n",
       "      <td>0.056811</td>\n",
       "      <td>0.075579</td>\n",
       "      <td>0.029447</td>\n",
       "      <td>0.053698</td>\n",
       "      <td>0.043491</td>\n",
       "      <td>0.088650</td>\n",
       "      <td>0.018781</td>\n",
       "      <td>0.132557</td>\n",
       "      <td>0.223543</td>\n",
       "      <td>0.272234</td>\n",
       "      <td>-0.215423</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2003-02-28</th>\n",
       "      <td>0.009601</td>\n",
       "      <td>0.015609</td>\n",
       "      <td>0.013429</td>\n",
       "      <td>0.006715</td>\n",
       "      <td>0.011068</td>\n",
       "      <td>0.010862</td>\n",
       "      <td>0.004616</td>\n",
       "      <td>0.007021</td>\n",
       "      <td>0.006601</td>\n",
       "      <td>-0.009617</td>\n",
       "      <td>0.019218</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2003-03-31</th>\n",
       "      <td>-0.000239</td>\n",
       "      <td>-0.015432</td>\n",
       "      <td>-0.028102</td>\n",
       "      <td>-0.011858</td>\n",
       "      <td>-0.009424</td>\n",
       "      <td>-0.010680</td>\n",
       "      <td>-0.017307</td>\n",
       "      <td>-0.020868</td>\n",
       "      <td>-0.011215</td>\n",
       "      <td>-0.027740</td>\n",
       "      <td>0.027501</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2003-04-30</th>\n",
       "      <td>-0.083466</td>\n",
       "      <td>-0.071252</td>\n",
       "      <td>-0.043424</td>\n",
       "      <td>-0.054252</td>\n",
       "      <td>-0.042997</td>\n",
       "      <td>-0.010754</td>\n",
       "      <td>-0.007239</td>\n",
       "      <td>-0.007140</td>\n",
       "      <td>0.010584</td>\n",
       "      <td>0.063980</td>\n",
       "      <td>-0.147446</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2003-05-31</th>\n",
       "      <td>0.075497</td>\n",
       "      <td>0.050453</td>\n",
       "      <td>0.047212</td>\n",
       "      <td>0.036652</td>\n",
       "      <td>0.045701</td>\n",
       "      <td>0.040598</td>\n",
       "      <td>0.041832</td>\n",
       "      <td>0.042965</td>\n",
       "      <td>0.037429</td>\n",
       "      <td>0.038273</td>\n",
       "      <td>0.037224</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2003-06-30</th>\n",
       "      <td>-0.058292</td>\n",
       "      <td>-0.079744</td>\n",
       "      <td>-0.050933</td>\n",
       "      <td>-0.051749</td>\n",
       "      <td>-0.068040</td>\n",
       "      <td>-0.062209</td>\n",
       "      <td>-0.063169</td>\n",
       "      <td>-0.074242</td>\n",
       "      <td>-0.066550</td>\n",
       "      <td>-0.091796</td>\n",
       "      <td>0.033504</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>79 rows × 11 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "sort              P1        P2        P3        P4        P5        P6  \\\n",
       "month                                                                    \n",
       "1996-12-31 -0.170922 -0.182215 -0.117995 -0.128620 -0.181150 -0.188288   \n",
       "1997-01-31  0.144248  0.092804  0.061656  0.072516  0.069617  0.035909   \n",
       "1997-02-28  0.024746  0.039335  0.061304  0.052181  0.051162  0.048680   \n",
       "1997-03-31  0.125276  0.171419  0.248178  0.193001  0.150734  0.169974   \n",
       "1997-04-30  0.056811  0.075579  0.029447  0.053698  0.043491  0.088650   \n",
       "...              ...       ...       ...       ...       ...       ...   \n",
       "2003-02-28  0.009601  0.015609  0.013429  0.006715  0.011068  0.010862   \n",
       "2003-03-31 -0.000239 -0.015432 -0.028102 -0.011858 -0.009424 -0.010680   \n",
       "2003-04-30 -0.083466 -0.071252 -0.043424 -0.054252 -0.042997 -0.010754   \n",
       "2003-05-31  0.075497  0.050453  0.047212  0.036652  0.045701  0.040598   \n",
       "2003-06-30 -0.058292 -0.079744 -0.050933 -0.051749 -0.068040 -0.062209   \n",
       "\n",
       "sort              P7        P8        P9      Pmax  My_portfolio  \n",
       "month                                                             \n",
       "1996-12-31 -0.201253 -0.242595 -0.204720 -0.156775     -0.014147  \n",
       "1997-01-31  0.118907  0.076467  0.087445  0.044670      0.099578  \n",
       "1997-02-28  0.043183  0.059211  0.049503  0.039668     -0.014922  \n",
       "1997-03-31  0.185415  0.217124  0.257199  0.171780     -0.046504  \n",
       "1997-04-30  0.018781  0.132557  0.223543  0.272234     -0.215423  \n",
       "...              ...       ...       ...       ...           ...  \n",
       "2003-02-28  0.004616  0.007021  0.006601 -0.009617      0.019218  \n",
       "2003-03-31 -0.017307 -0.020868 -0.011215 -0.027740      0.027501  \n",
       "2003-04-30 -0.007239 -0.007140  0.010584  0.063980     -0.147446  \n",
       "2003-05-31  0.041832  0.042965  0.037429  0.038273      0.037224  \n",
       "2003-06-30 -0.063169 -0.074242 -0.066550 -0.091796      0.033504  \n",
       "\n",
       "[79 rows x 11 columns]"
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "portfolio_mom = portfolio_mom['1996-12':'2003-06']\n",
    "portfolio_mom"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "id": "63802d01-4fd7-4d9d-a0de-334ff624fd72",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "                            OLS Regression Results                            \n",
      "==============================================================================\n",
      "Dep. Variable:           My_portfolio   R-squared:                       0.000\n",
      "Model:                            OLS   Adj. R-squared:                  0.000\n",
      "Method:                 Least Squares   F-statistic:                       nan\n",
      "Date:                Mon, 10 Nov 2025   Prob (F-statistic):                nan\n",
      "Time:                        19:34:21   Log-Likelihood:                 61.244\n",
      "No. Observations:                  41   AIC:                            -120.5\n",
      "Df Residuals:                      40   BIC:                            -118.8\n",
      "Df Model:                           0                                         \n",
      "Covariance Type:                  HAC                                         \n",
      "==============================================================================\n",
      "                 coef    std err          z      P>|z|      [0.025      0.975]\n",
      "------------------------------------------------------------------------------\n",
      "Intercept     -0.0039      0.009     -0.426      0.670      -0.022       0.014\n",
      "==============================================================================\n",
      "Omnibus:                        3.466   Durbin-Watson:                   1.769\n",
      "Prob(Omnibus):                  0.177   Jarque-Bera (JB):                2.258\n",
      "Skew:                          -0.473   Prob(JB):                        0.323\n",
      "Kurtosis:                       3.653   Cond. No.                         1.00\n",
      "==============================================================================\n",
      "\n",
      "Notes:\n",
      "[1] Standard Errors are heteroscedasticity and autocorrelation robust (HAC) using 6 lags and without small sample correction\n"
     ]
    }
   ],
   "source": [
    "model_port = smf.ols('My_portfolio ~ 1',\n",
    "                 data=portfolio_mom['2000-02':'2024-12']).fit(\n",
    "                     cov_type='HAC', cov_kwds={'maxlags': 6})\n",
    "print(model_port.summary())"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "id": "b65b3e06-274c-4a18-9884-c6dec6bb1e6f",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "\n",
       "    .dataframe tbody tr th {\n",
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       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>MarketR</th>\n",
       "      <th>MarketR_e</th>\n",
       "      <th>rfmonth</th>\n",
       "      <th>MKT</th>\n",
       "      <th>ret_e</th>\n",
       "      <th>marketret3</th>\n",
       "      <th>marketret6</th>\n",
       "      <th>marketret12</th>\n",
       "      <th>Q</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>month</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1991-01-31</th>\n",
       "      <td>0.029998</td>\n",
       "      <td>0.036554</td>\n",
       "      <td>0.006930</td>\n",
       "      <td>0.023068</td>\n",
       "      <td>0.029624</td>\n",
       "      <td>-0.084127</td>\n",
       "      <td>-0.305662</td>\n",
       "      <td>0.254049</td>\n",
       "      <td>1991 Q1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-02-28</th>\n",
       "      <td>0.010203</td>\n",
       "      <td>0.021860</td>\n",
       "      <td>0.006930</td>\n",
       "      <td>0.003273</td>\n",
       "      <td>0.014930</td>\n",
       "      <td>-0.183573</td>\n",
       "      <td>-0.384745</td>\n",
       "      <td>0.241492</td>\n",
       "      <td>1991 Q1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-03-31</th>\n",
       "      <td>-0.099663</td>\n",
       "      <td>-0.060425</td>\n",
       "      <td>0.006930</td>\n",
       "      <td>-0.106593</td>\n",
       "      <td>-0.067355</td>\n",
       "      <td>-0.252928</td>\n",
       "      <td>-0.445049</td>\n",
       "      <td>0.288857</td>\n",
       "      <td>1991 Q1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-04-30</th>\n",
       "      <td>-0.079652</td>\n",
       "      <td>-0.031449</td>\n",
       "      <td>0.006651</td>\n",
       "      <td>-0.086303</td>\n",
       "      <td>-0.038100</td>\n",
       "      <td>-0.234776</td>\n",
       "      <td>-0.394937</td>\n",
       "      <td>0.691749</td>\n",
       "      <td>1991 Q2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1991-05-31</th>\n",
       "      <td>-0.074521</td>\n",
       "      <td>0.005375</td>\n",
       "      <td>0.006092</td>\n",
       "      <td>-0.080613</td>\n",
       "      <td>-0.000717</td>\n",
       "      <td>-0.236294</td>\n",
       "      <td>0.181673</td>\n",
       "      <td>1.542701</td>\n",
       "      <td>1991 Q2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-08-31</th>\n",
       "      <td>-0.031468</td>\n",
       "      <td>-0.033685</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>-0.032586</td>\n",
       "      <td>-0.034803</td>\n",
       "      <td>0.151050</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2024 Q3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-30</th>\n",
       "      <td>0.195992</td>\n",
       "      <td>0.227078</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>0.194874</td>\n",
       "      <td>0.225960</td>\n",
       "      <td>0.200147</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2024 Q3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-10-31</th>\n",
       "      <td>-0.003409</td>\n",
       "      <td>0.070220</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>-0.004527</td>\n",
       "      <td>0.069102</td>\n",
       "      <td>0.000228</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2024 Q4</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-11-30</th>\n",
       "      <td>0.009724</td>\n",
       "      <td>0.045312</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>0.008606</td>\n",
       "      <td>0.044194</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2024 Q4</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-12-31</th>\n",
       "      <td>-0.002679</td>\n",
       "      <td>-0.040799</td>\n",
       "      <td>0.001118</td>\n",
       "      <td>-0.003797</td>\n",
       "      <td>-0.041917</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>2024 Q4</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>408 rows × 9 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "             MarketR  MarketR_e   rfmonth       MKT     ret_e  marketret3  \\\n",
       "month                                                                       \n",
       "1991-01-31  0.029998   0.036554  0.006930  0.023068  0.029624   -0.084127   \n",
       "1991-02-28  0.010203   0.021860  0.006930  0.003273  0.014930   -0.183573   \n",
       "1991-03-31 -0.099663  -0.060425  0.006930 -0.106593 -0.067355   -0.252928   \n",
       "1991-04-30 -0.079652  -0.031449  0.006651 -0.086303 -0.038100   -0.234776   \n",
       "1991-05-31 -0.074521   0.005375  0.006092 -0.080613 -0.000717   -0.236294   \n",
       "...              ...        ...       ...       ...       ...         ...   \n",
       "2024-08-31 -0.031468  -0.033685  0.001118 -0.032586 -0.034803    0.151050   \n",
       "2024-09-30  0.195992   0.227078  0.001118  0.194874  0.225960    0.200147   \n",
       "2024-10-31 -0.003409   0.070220  0.001118 -0.004527  0.069102    0.000228   \n",
       "2024-11-30  0.009724   0.045312  0.001118  0.008606  0.044194         NaN   \n",
       "2024-12-31 -0.002679  -0.040799  0.001118 -0.003797 -0.041917         NaN   \n",
       "\n",
       "            marketret6  marketret12        Q  \n",
       "month                                         \n",
       "1991-01-31   -0.305662     0.254049  1991 Q1  \n",
       "1991-02-28   -0.384745     0.241492  1991 Q1  \n",
       "1991-03-31   -0.445049     0.288857  1991 Q1  \n",
       "1991-04-30   -0.394937     0.691749  1991 Q2  \n",
       "1991-05-31    0.181673     1.542701  1991 Q2  \n",
       "...                ...          ...      ...  \n",
       "2024-08-31         NaN          NaN  2024 Q3  \n",
       "2024-09-30         NaN          NaN  2024 Q3  \n",
       "2024-10-31         NaN          NaN  2024 Q4  \n",
       "2024-11-30         NaN          NaN  2024 Q4  \n",
       "2024-12-31         NaN          NaN  2024 Q4  \n",
       "\n",
       "[408 rows x 9 columns]"
      ]
     },
     "execution_count": 22,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "from pandas.tseries.offsets import MonthEnd # 月末\n",
    "Market_ret = pd.read_csv('C:/datasets/Marketret_mon_stock2024.csv')\n",
    "Market_ret['month'] = pd.to_datetime(Market_ret['month'], format='%b %Y') + MonthEnd(0)\n",
    "Market_ret.set_index('month', inplace=True)\n",
    "Market_ret.sort_index(inplace=True)\n",
    "Market_ret = Market_ret.drop(columns=['Unnamed: 0'])\n",
    "Market_ret.rename(columns={'ret': 'MKT'}, inplace=True)\n",
    "Market_ret"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "id": "a5ab2a47-2b69-4d6c-9506-9fe52c408af3",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
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       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>P1</th>\n",
       "      <th>Pmax</th>\n",
       "      <th>My_portfolio</th>\n",
       "      <th>MKT</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>month</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2000-01-31</th>\n",
       "      <td>-0.057331</td>\n",
       "      <td>-0.079734</td>\n",
       "      <td>0.022403</td>\n",
       "      <td>-0.064599</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-02-29</th>\n",
       "      <td>-0.150807</td>\n",
       "      <td>-0.098584</td>\n",
       "      <td>-0.052223</td>\n",
       "      <td>-0.109581</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-03-31</th>\n",
       "      <td>0.097204</td>\n",
       "      <td>0.007729</td>\n",
       "      <td>0.089476</td>\n",
       "      <td>0.026574</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-04-30</th>\n",
       "      <td>0.048981</td>\n",
       "      <td>0.082316</td>\n",
       "      <td>-0.033335</td>\n",
       "      <td>0.064457</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-05-31</th>\n",
       "      <td>0.015638</td>\n",
       "      <td>0.029620</td>\n",
       "      <td>-0.013983</td>\n",
       "      <td>0.037689</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-06-30</th>\n",
       "      <td>-0.097645</td>\n",
       "      <td>-0.088629</td>\n",
       "      <td>-0.009016</td>\n",
       "      <td>-0.086767</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-07-31</th>\n",
       "      <td>0.165929</td>\n",
       "      <td>0.078470</td>\n",
       "      <td>0.087459</td>\n",
       "      <td>0.131349</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-08-31</th>\n",
       "      <td>-0.014513</td>\n",
       "      <td>-0.066005</td>\n",
       "      <td>0.051492</td>\n",
       "      <td>-0.041807</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-09-30</th>\n",
       "      <td>0.006295</td>\n",
       "      <td>0.007142</td>\n",
       "      <td>-0.000848</td>\n",
       "      <td>0.004586</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-10-31</th>\n",
       "      <td>-0.072067</td>\n",
       "      <td>-0.039119</td>\n",
       "      <td>-0.032948</td>\n",
       "      <td>-0.057267</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-11-30</th>\n",
       "      <td>-0.040312</td>\n",
       "      <td>-0.040081</td>\n",
       "      <td>-0.000230</td>\n",
       "      <td>-0.052818</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-12-31</th>\n",
       "      <td>-0.047715</td>\n",
       "      <td>-0.051262</td>\n",
       "      <td>0.003547</td>\n",
       "      <td>-0.064328</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2001-01-31</th>\n",
       "      <td>-0.041727</td>\n",
       "      <td>-0.031885</td>\n",
       "      <td>-0.009842</td>\n",
       "      <td>-0.053127</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2001-02-28</th>\n",
       "      <td>0.133436</td>\n",
       "      <td>0.026958</td>\n",
       "      <td>0.106478</td>\n",
       "      <td>0.093857</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2001-03-31</th>\n",
       "      <td>0.009601</td>\n",
       "      <td>-0.009617</td>\n",
       "      <td>0.019218</td>\n",
       "      <td>0.008075</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2001-04-30</th>\n",
       "      <td>-0.000239</td>\n",
       "      <td>-0.027740</td>\n",
       "      <td>0.027501</td>\n",
       "      <td>-0.014767</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2001-05-31</th>\n",
       "      <td>-0.083466</td>\n",
       "      <td>0.063980</td>\n",
       "      <td>-0.147446</td>\n",
       "      <td>-0.013689</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2001-06-30</th>\n",
       "      <td>0.075497</td>\n",
       "      <td>0.038273</td>\n",
       "      <td>0.037224</td>\n",
       "      <td>0.042270</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2001-07-31</th>\n",
       "      <td>-0.058292</td>\n",
       "      <td>-0.091796</td>\n",
       "      <td>0.033504</td>\n",
       "      <td>-0.068540</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                  P1      Pmax  My_portfolio       MKT\n",
       "month                                                 \n",
       "2000-01-31 -0.057331 -0.079734      0.022403 -0.064599\n",
       "2000-02-29 -0.150807 -0.098584     -0.052223 -0.109581\n",
       "2000-03-31  0.097204  0.007729      0.089476  0.026574\n",
       "2000-04-30  0.048981  0.082316     -0.033335  0.064457\n",
       "2000-05-31  0.015638  0.029620     -0.013983  0.037689\n",
       "2000-06-30 -0.097645 -0.088629     -0.009016 -0.086767\n",
       "2000-07-31  0.165929  0.078470      0.087459  0.131349\n",
       "2000-08-31 -0.014513 -0.066005      0.051492 -0.041807\n",
       "2000-09-30  0.006295  0.007142     -0.000848  0.004586\n",
       "2000-10-31 -0.072067 -0.039119     -0.032948 -0.057267\n",
       "2000-11-30 -0.040312 -0.040081     -0.000230 -0.052818\n",
       "2000-12-31 -0.047715 -0.051262      0.003547 -0.064328\n",
       "2001-01-31 -0.041727 -0.031885     -0.009842 -0.053127\n",
       "2001-02-28  0.133436  0.026958      0.106478  0.093857\n",
       "2001-03-31  0.009601 -0.009617      0.019218  0.008075\n",
       "2001-04-30 -0.000239 -0.027740      0.027501 -0.014767\n",
       "2001-05-31 -0.083466  0.063980     -0.147446 -0.013689\n",
       "2001-06-30  0.075497  0.038273      0.037224  0.042270\n",
       "2001-07-31 -0.058292 -0.091796      0.033504 -0.068540"
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "MYPOR = portfolio_mom[['P1','Pmax','My_portfolio']]\n",
    "MYPOR = MYPOR.dropna()\n",
    "MYPOR = pd.merge(MYPOR,Market_ret[['MKT']],left_index=True,right_index=True,how='left')\n",
    "MYPOR['month'] = pd.date_range(start = '1995',periods=len(MYPOR),freq = 'ME')\n",
    "MYPOR.set_index('month', inplace = True)\n",
    "MYPOR = MYPOR[\"2000\":]\n",
    "MYPOR"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "id": "acc5b369-665d-40d6-9375-75d7edf04573",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "                            OLS Regression Results                            \n",
      "==============================================================================\n",
      "Dep. Variable:           My_portfolio   R-squared:                       0.212\n",
      "Model:                            OLS   Adj. R-squared:                  0.163\n",
      "Method:                 Least Squares   F-statistic:                     20.47\n",
      "Date:                Mon, 10 Nov 2025   Prob (F-statistic):           0.000346\n",
      "Time:                        19:36:27   Log-Likelihood:                 28.098\n",
      "No. Observations:                  18   AIC:                            -52.20\n",
      "Df Residuals:                      16   BIC:                            -50.41\n",
      "Df Model:                           1                                         \n",
      "Covariance Type:                  HAC                                         \n",
      "==============================================================================\n",
      "                 coef    std err          z      P>|z|      [0.025      0.975]\n",
      "------------------------------------------------------------------------------\n",
      "Intercept      0.0122      0.006      1.974      0.048    8.72e-05       0.024\n",
      "MKT            0.4163      0.092      4.524      0.000       0.236       0.597\n",
      "==============================================================================\n",
      "Omnibus:                       12.571   Durbin-Watson:                   2.219\n",
      "Prob(Omnibus):                  0.002   Jarque-Bera (JB):               10.041\n",
      "Skew:                          -1.412   Prob(JB):                      0.00660\n",
      "Kurtosis:                       5.328   Cond. No.                         15.8\n",
      "==============================================================================\n",
      "\n",
      "Notes:\n",
      "[1] Standard Errors are heteroscedasticity and autocorrelation robust (HAC) using 6 lags and without small sample correction\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "D:\\tbj2003\\Anaconda\\Lib\\site-packages\\scipy\\stats\\_axis_nan_policy.py:430: UserWarning: `kurtosistest` p-value may be inaccurate with fewer than 20 observations; only n=18 observations were given.\n",
      "  return hypotest_fun_in(*args, **kwds)\n"
     ]
    }
   ],
   "source": [
    "model_port = smf.ols('My_portfolio ~ MKT',\n",
    "                 data=MYPOR['2000-02':'2024-12']).fit(\n",
    "                     cov_type='HAC', cov_kwds={'maxlags': 6})\n",
    "print(model_port.summary())"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "id": "485ca59b-b40a-4dec-b75d-09919c3673c0",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Sharpe Ratio: 0.567481071910385\n"
     ]
    }
   ],
   "source": [
    "# 计算投资组合的Sharpe Ratio\n",
    "sharpe_ratio = MYPOR['My_portfolio'].mean() / MYPOR['My_portfolio'].std() * np.sqrt(12)\n",
    "print(f\"Sharpe Ratio: {sharpe_ratio}\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 26,
   "id": "fe5accd0-acb9-420f-bfce-1694367c22bb",
   "metadata": {},
   "outputs": [
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       "      <th></th>\n",
       "      <th>P1</th>\n",
       "      <th>Pmax</th>\n",
       "      <th>My_portfolio</th>\n",
       "      <th>MKT</th>\n",
       "      <th>price_portfolio</th>\n",
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       "      <th>price_pmax</th>\n",
       "      <th>price_market</th>\n",
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       "    <tr>\n",
       "      <th>month</th>\n",
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       "      <th>2000-01-31</th>\n",
       "      <td>-0.057331</td>\n",
       "      <td>-0.079734</td>\n",
       "      <td>0.022403</td>\n",
       "      <td>-0.064599</td>\n",
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       "      <th>2000-02-29</th>\n",
       "      <td>-0.150807</td>\n",
       "      <td>-0.098584</td>\n",
       "      <td>-0.052223</td>\n",
       "      <td>-0.109581</td>\n",
       "      <td>0.969010</td>\n",
       "      <td>0.800509</td>\n",
       "      <td>0.829543</td>\n",
       "      <td>0.832899</td>\n",
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       "      <th>2000-03-31</th>\n",
       "      <td>0.097204</td>\n",
       "      <td>0.007729</td>\n",
       "      <td>0.089476</td>\n",
       "      <td>0.026574</td>\n",
       "      <td>1.055713</td>\n",
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       "      <td>0.855032</td>\n",
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       "      <td>0.048981</td>\n",
       "      <td>0.082316</td>\n",
       "      <td>-0.033335</td>\n",
       "      <td>0.064457</td>\n",
       "      <td>1.020521</td>\n",
       "      <td>0.921342</td>\n",
       "      <td>0.904766</td>\n",
       "      <td>0.910145</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-05-31</th>\n",
       "      <td>0.015638</td>\n",
       "      <td>0.029620</td>\n",
       "      <td>-0.013983</td>\n",
       "      <td>0.037689</td>\n",
       "      <td>1.006252</td>\n",
       "      <td>0.935750</td>\n",
       "      <td>0.931566</td>\n",
       "      <td>0.944448</td>\n",
       "    </tr>\n",
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       "      <th>2000-06-30</th>\n",
       "      <td>-0.097645</td>\n",
       "      <td>-0.088629</td>\n",
       "      <td>-0.009016</td>\n",
       "      <td>-0.086767</td>\n",
       "      <td>0.997179</td>\n",
       "      <td>0.844379</td>\n",
       "      <td>0.849002</td>\n",
       "      <td>0.862501</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-07-31</th>\n",
       "      <td>0.165929</td>\n",
       "      <td>0.078470</td>\n",
       "      <td>0.087459</td>\n",
       "      <td>0.131349</td>\n",
       "      <td>1.084392</td>\n",
       "      <td>0.984486</td>\n",
       "      <td>0.915624</td>\n",
       "      <td>0.975789</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-08-31</th>\n",
       "      <td>-0.014513</td>\n",
       "      <td>-0.066005</td>\n",
       "      <td>0.051492</td>\n",
       "      <td>-0.041807</td>\n",
       "      <td>1.140229</td>\n",
       "      <td>0.970198</td>\n",
       "      <td>0.855187</td>\n",
       "      <td>0.934995</td>\n",
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       "      <th>2000-09-30</th>\n",
       "      <td>0.006295</td>\n",
       "      <td>0.007142</td>\n",
       "      <td>-0.000848</td>\n",
       "      <td>0.004586</td>\n",
       "      <td>1.139263</td>\n",
       "      <td>0.976305</td>\n",
       "      <td>0.861295</td>\n",
       "      <td>0.939282</td>\n",
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       "      <td>-0.072067</td>\n",
       "      <td>-0.039119</td>\n",
       "      <td>-0.032948</td>\n",
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       "      <td>0.743077</td>\n",
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       "      <td>0.749345</td>\n",
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       "      <td>0.009601</td>\n",
       "      <td>-0.009617</td>\n",
       "      <td>0.019218</td>\n",
       "      <td>0.008075</td>\n",
       "      <td>1.234315</td>\n",
       "      <td>0.907895</td>\n",
       "      <td>0.742139</td>\n",
       "      <td>0.819383</td>\n",
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       "    <tr>\n",
       "      <th>2001-04-30</th>\n",
       "      <td>-0.000239</td>\n",
       "      <td>-0.027740</td>\n",
       "      <td>0.027501</td>\n",
       "      <td>-0.014767</td>\n",
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       "      <td>0.907678</td>\n",
       "      <td>0.721551</td>\n",
       "      <td>0.807283</td>\n",
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       "      <td>-0.083466</td>\n",
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      "text/plain": [
       "                  P1      Pmax  My_portfolio       MKT  price_portfolio  \\\n",
       "month                                                                     \n",
       "2000-01-31 -0.057331 -0.079734      0.022403 -0.064599         1.022403   \n",
       "2000-02-29 -0.150807 -0.098584     -0.052223 -0.109581         0.969010   \n",
       "2000-03-31  0.097204  0.007729      0.089476  0.026574         1.055713   \n",
       "2000-04-30  0.048981  0.082316     -0.033335  0.064457         1.020521   \n",
       "2000-05-31  0.015638  0.029620     -0.013983  0.037689         1.006252   \n",
       "2000-06-30 -0.097645 -0.088629     -0.009016 -0.086767         0.997179   \n",
       "2000-07-31  0.165929  0.078470      0.087459  0.131349         1.084392   \n",
       "2000-08-31 -0.014513 -0.066005      0.051492 -0.041807         1.140229   \n",
       "2000-09-30  0.006295  0.007142     -0.000848  0.004586         1.139263   \n",
       "2000-10-31 -0.072067 -0.039119     -0.032948 -0.057267         1.101727   \n",
       "2000-11-30 -0.040312 -0.040081     -0.000230 -0.052818         1.101473   \n",
       "2000-12-31 -0.047715 -0.051262      0.003547 -0.064328         1.105380   \n",
       "2001-01-31 -0.041727 -0.031885     -0.009842 -0.053127         1.094501   \n",
       "2001-02-28  0.133436  0.026958      0.106478  0.093857         1.211042   \n",
       "2001-03-31  0.009601 -0.009617      0.019218  0.008075         1.234315   \n",
       "2001-04-30 -0.000239 -0.027740      0.027501 -0.014767         1.268261   \n",
       "2001-05-31 -0.083466  0.063980     -0.147446 -0.013689         1.081261   \n",
       "2001-06-30  0.075497  0.038273      0.037224  0.042270         1.121510   \n",
       "2001-07-31 -0.058292 -0.091796      0.033504 -0.068540         1.159085   \n",
       "\n",
       "            price_p1  price_pmax  price_market  \n",
       "month                                           \n",
       "2000-01-31  0.942669    0.920266      0.935401  \n",
       "2000-02-29  0.800509    0.829543      0.832899  \n",
       "2000-03-31  0.878321    0.835954      0.855032  \n",
       "2000-04-30  0.921342    0.904766      0.910145  \n",
       "2000-05-31  0.935750    0.931566      0.944448  \n",
       "2000-06-30  0.844379    0.849002      0.862501  \n",
       "2000-07-31  0.984486    0.915624      0.975789  \n",
       "2000-08-31  0.970198    0.855187      0.934995  \n",
       "2000-09-30  0.976305    0.861295      0.939282  \n",
       "2000-10-31  0.905946    0.827602      0.885493  \n",
       "2000-11-30  0.869426    0.794431      0.838723  \n",
       "2000-12-31  0.827941    0.753707      0.784769  \n",
       "2001-01-31  0.793394    0.729675      0.743077  \n",
       "2001-02-28  0.899261    0.749345      0.812820  \n",
       "2001-03-31  0.907895    0.742139      0.819383  \n",
       "2001-04-30  0.907678    0.721551      0.807283  \n",
       "2001-05-31  0.831918    0.767716      0.796233  \n",
       "2001-06-30  0.894725    0.797099      0.829889  \n",
       "2001-07-31  0.842570    0.723929      0.773009  "
      ]
     },
     "execution_count": 26,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 还原投资策略的价格\n",
    "MYPOR_pic = MYPOR['2000-01':'2024-12'].copy()\n",
    "MYPOR_pic['price_portfolio'] = (1 + MYPOR_pic['My_portfolio']).cumprod()\n",
    "MYPOR_pic['price_p1'] = (1 + MYPOR_pic['P1']).cumprod()\n",
    "MYPOR_pic['price_pmax'] = (1 + MYPOR_pic['Pmax']).cumprod()\n",
    "MYPOR_pic['price_market'] = (1 + MYPOR_pic['MKT']).cumprod()\n",
    "MYPOR_pic"
   ]
  },
  {
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   "execution_count": 29,
   "id": "7e3e1d60-de9f-4e0c-bb70-aef31ab4909f",
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      "text/plain": [
       "<Figure size 1200x400 with 1 Axes>"
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     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "# 画图\n",
    "fig = plt.figure(figsize=(12, 4))\n",
    "plt.plot(\n",
    "    'price_portfolio',  \n",
    "    '.-r', \n",
    "    label='Price of My Portfolio',  \n",
    "    linewidth=1, \n",
    "    data=MYPOR_pic)  \n",
    "plt.title(\"China's Stock Market\") \n",
    "plt.xlabel('Month') \n",
    "plt.ylabel('Return') \n",
    "\n",
    "plt.plot(\n",
    "    'price_market', \n",
    "    '.-b', \n",
    "    label='Price of Market', \n",
    "    linewidth=1, \n",
    "    data=MYPOR_pic) \n",
    "\n",
    "plt.plot(\n",
    "    'price_p1', \n",
    "    '.-g', \n",
    "    label='Price of Lowest', \n",
    "    linewidth=1, \n",
    "    data=MYPOR_pic) \n",
    "\n",
    "plt.plot(\n",
    "    'price_pmax', \n",
    "    '.-c', \n",
    "    label='Price of Highest', \n",
    "    linewidth=1, \n",
    "    data=MYPOR_pic) \n",
    "\n",
    "# plot legend\n",
    "plt.legend(loc='upper left')\n",
    "\n",
    "# 添加网格线\n",
    "plt.grid(True)\n",
    "\n",
    "# 添加横线 1\n",
    "plt.axhline(y=1, color='yellow', linewidth=1)\n",
    "\n",
    "plt.show();"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 30,
   "id": "97dfd534-94a6-4e8a-a75a-1d54097db9f1",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Maximum Drawdown: -0.14744609264886088\n"
     ]
    }
   ],
   "source": [
    "# 计算累积收益率\n",
    "MYPOR['cumulative_return'] = (1 + MYPOR['My_portfolio']).cumprod()\n",
    "\n",
    "# 计算滚动最大值\n",
    "MYPOR['rolling_max'] = MYPOR['cumulative_return'].cummax()\n",
    "\n",
    "# 计算回撤\n",
    "MYPOR['drawdown'] = MYPOR['cumulative_return'] / MYPOR['rolling_max'] - 1\n",
    "\n",
    "# 计算最大回撤\n",
    "max_drawdown = MYPOR['drawdown'].min()\n",
    "print(f\"Maximum Drawdown: {max_drawdown}\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 31,
   "id": "1e7297ec-2cf0-4433-b252-2fcc66d01139",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Maximum Drawdown: -0.14744609264886088\n",
      "Maximum Drawdown Start Date: 2001-04-30 00:00:00\n",
      "Maximum Drawdown End Date: 2001-05-31 00:00:00\n"
     ]
    }
   ],
   "source": [
    "# 找出最大回撤的时间\n",
    "max_drawdown_end = MYPOR['drawdown'].idxmin() # 返回 Series 中最小值的索引\n",
    "max_drawdown_start = MYPOR.loc[:max_drawdown_end, 'cumulative_return'].idxmax() # 这部分代码选择了从数据开始到 max_drawdown_end 时间点之间的所有累积收益率\n",
    "\n",
    "print(f\"Maximum Drawdown: {max_drawdown}\")\n",
    "print(f\"Maximum Drawdown Start Date: {max_drawdown_start}\")\n",
    "print(f\"Maximum Drawdown End Date: {max_drawdown_end}\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 32,
   "id": "05d4cea1-f71b-4d52-b4a7-9d5744923097",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "================================================================================\n",
      "投资组合策略评估指标\n",
      "================================================================================\n",
      "累积收益率 (Cumulative Return).........................               15.91%\n",
      "年化收益率 (Annualized Return).........................                9.77%\n",
      "月平均收益率 (Average Monthly Return)...................                0.94%\n",
      "月度波动率 (Monthly Volatility)........................                5.73%\n",
      "年化波动率 (Annualized Volatility).....................               19.86%\n",
      "最大回撤 (Maximum Drawdown)...........................              -14.74%\n",
      "下行标准差 (Downside Deviation)........................                4.62%\n",
      "VaR (95%).........................................               -6.17%\n",
      "CVaR (95%)........................................              -14.74%\n",
      "夏普比率 (Sharpe Ratio)...............................               0.4164\n",
      "索提诺比率 (Sortino Ratio).............................               0.5171\n",
      "卡玛比率 (Calmar Ratio)...............................               0.6628\n",
      "信息比率 (Information Ratio)..........................               1.1157\n",
      "跟踪误差 (Tracking Error).............................               22.47%\n",
      "胜率 (Win Rate).....................................               52.63%\n",
      "盈亏比 (Profit/Loss Ratio)...........................               1.4355\n",
      "最长回撤期 (月) (Max Drawdown Duration).................                  6.0\n",
      "最大回撤开始时间..........................................              2001-04\n",
      "最大回撤结束时间..........................................              2001-05\n",
      "================================================================================\n"
     ]
    }
   ],
   "source": [
    "# 构建完整的策略评估函数\n",
    "def calculate_strategy_metrics(returns, benchmark_returns=None, rf_rate=0.03/12):\n",
    "    \"\"\"\n",
    "    计算投资策略的全面评估指标\n",
    "    \n",
    "    Parameters:\n",
    "    -----------\n",
    "    returns : pd.Series\n",
    "        策略收益率序列（月度）\n",
    "    benchmark_returns : pd.Series, optional\n",
    "        基准收益率序列（用于计算Information Ratio）\n",
    "    rf_rate : float\n",
    "        月度无风险利率，默认年化3%\n",
    "    \n",
    "    Returns:\n",
    "    --------\n",
    "    dict : 包含所有评估指标的字典\n",
    "    \"\"\"\n",
    "    \n",
    "    metrics = {}\n",
    "    \n",
    "    # 1. 收益指标\n",
    "    # 累积收益率\n",
    "    cumulative_return = (1 + returns).prod() - 1\n",
    "    metrics['累积收益率 (Cumulative Return)'] = f\"{cumulative_return:.2%}\"\n",
    "    \n",
    "    # 年化收益率\n",
    "    n_months = len(returns)\n",
    "    n_years = n_months / 12\n",
    "    annualized_return = (1 + cumulative_return) ** (1/n_years) - 1\n",
    "    metrics['年化收益率 (Annualized Return)'] = f\"{annualized_return:.2%}\"\n",
    "    \n",
    "    # 月平均收益率\n",
    "    avg_monthly_return = returns.mean()\n",
    "    metrics['月平均收益率 (Average Monthly Return)'] = f\"{avg_monthly_return:.2%}\"\n",
    "    \n",
    "    # 2. 风险指标\n",
    "    # 收益率标准差\n",
    "    volatility = returns.std()\n",
    "    metrics['月度波动率 (Monthly Volatility)'] = f\"{volatility:.2%}\"\n",
    "    \n",
    "    # 年化波动率\n",
    "    annualized_volatility = volatility * np.sqrt(12)\n",
    "    metrics['年化波动率 (Annualized Volatility)'] = f\"{annualized_volatility:.2%}\"\n",
    "    \n",
    "    # 最大回撤\n",
    "    cumulative = (1 + returns).cumprod()\n",
    "    running_max = cumulative.cummax()\n",
    "    drawdown = cumulative / running_max - 1\n",
    "    max_drawdown = drawdown.min()\n",
    "    metrics['最大回撤 (Maximum Drawdown)'] = f\"{max_drawdown:.2%}\"\n",
    "    \n",
    "    # 下行风险（只考虑负收益的标准差）\n",
    "    downside_returns = returns[returns < 0]\n",
    "    downside_deviation = downside_returns.std()\n",
    "    metrics['下行标准差 (Downside Deviation)'] = f\"{downside_deviation:.2%}\"\n",
    "    \n",
    "    # VaR (5% 分位数)\n",
    "    var_95 = returns.quantile(0.05)\n",
    "    metrics['VaR (95%)'] = f\"{var_95:.2%}\"\n",
    "    \n",
    "    # CVaR (条件VaR, 最差5%的平均值)\n",
    "    cvar_95 = returns[returns <= var_95].mean()\n",
    "    metrics['CVaR (95%)'] = f\"{cvar_95:.2%}\"\n",
    "    \n",
    "    # 3. 风险调整收益指标\n",
    "    # 夏普比率\n",
    "    excess_returns = returns - rf_rate\n",
    "    sharpe_ratio = excess_returns.mean() / excess_returns.std() * np.sqrt(12)\n",
    "    metrics['夏普比率 (Sharpe Ratio)'] = f\"{sharpe_ratio:.4f}\"\n",
    "    \n",
    "    # 索提诺比率（使用下行风险）\n",
    "    if downside_deviation > 0:\n",
    "        sortino_ratio = excess_returns.mean() / downside_deviation * np.sqrt(12)\n",
    "        metrics['索提诺比率 (Sortino Ratio)'] = f\"{sortino_ratio:.4f}\"\n",
    "    else:\n",
    "        metrics['索提诺比率 (Sortino Ratio)'] = \"N/A\"\n",
    "    \n",
    "    # 卡玛比率（年化收益率/最大回撤）\n",
    "    if max_drawdown < 0:\n",
    "        calmar_ratio = annualized_return / abs(max_drawdown)\n",
    "        metrics['卡玛比率 (Calmar Ratio)'] = f\"{calmar_ratio:.4f}\"\n",
    "    else:\n",
    "        metrics['卡玛比率 (Calmar Ratio)'] = \"N/A\"\n",
    "    \n",
    "    # 信息比率（如果提供了基准）\n",
    "    if benchmark_returns is not None:\n",
    "        active_returns = returns - benchmark_returns\n",
    "        tracking_error = active_returns.std()\n",
    "        if tracking_error > 0:\n",
    "            information_ratio = active_returns.mean() / tracking_error * np.sqrt(12)\n",
    "            metrics['信息比率 (Information Ratio)'] = f\"{information_ratio:.4f}\"\n",
    "            metrics['跟踪误差 (Tracking Error)'] = f\"{tracking_error * np.sqrt(12):.2%}\"\n",
    "        else:\n",
    "            metrics['信息比率 (Information Ratio)'] = \"N/A\"\n",
    "            metrics['跟踪误差 (Tracking Error)'] = \"N/A\"\n",
    "    \n",
    "    # 4. 其他重要指标\n",
    "    # 胜率\n",
    "    win_rate = (returns > 0).sum() / len(returns)\n",
    "    metrics['胜率 (Win Rate)'] = f\"{win_rate:.2%}\"\n",
    "    \n",
    "    # 盈亏比\n",
    "    avg_gain = returns[returns > 0].mean()\n",
    "    avg_loss = abs(returns[returns < 0].mean())\n",
    "    if avg_loss > 0:\n",
    "        profit_loss_ratio = avg_gain / avg_loss\n",
    "        metrics['盈亏比 (Profit/Loss Ratio)'] = f\"{profit_loss_ratio:.4f}\"\n",
    "    else:\n",
    "        metrics['盈亏比 (Profit/Loss Ratio)'] = \"N/A\"\n",
    "    \n",
    "    # 最长回撤期\n",
    "    # 找到所有创新高的时间点\n",
    "    is_new_high = cumulative == running_max\n",
    "    new_high_dates = cumulative[is_new_high].index\n",
    "    \n",
    "    # 计算每次创新高之间的间隔\n",
    "    if len(new_high_dates) > 1:\n",
    "        max_drawdown_duration = 0\n",
    "        for i in range(len(new_high_dates) - 1):\n",
    "            duration = (new_high_dates[i+1] - new_high_dates[i]).days / 30  # 转换为月\n",
    "            max_drawdown_duration = max(max_drawdown_duration, duration)\n",
    "        metrics['最长回撤期 (月) (Max Drawdown Duration)'] = f\"{max_drawdown_duration:.1f}\"\n",
    "    else:\n",
    "        metrics['最长回撤期 (月) (Max Drawdown Duration)'] = \"N/A\"\n",
    "    \n",
    "    # 最大回撤起止时间\n",
    "    max_dd_end = drawdown.idxmin()\n",
    "    max_dd_start = cumulative.loc[:max_dd_end].idxmax()\n",
    "    metrics['最大回撤开始时间'] = max_dd_start.strftime('%Y-%m')\n",
    "    metrics['最大回撤结束时间'] = max_dd_end.strftime('%Y-%m')\n",
    "    \n",
    "    return metrics\n",
    "\n",
    "# 使用示例\n",
    "print(\"=\" * 80)\n",
    "print(\"投资组合策略评估指标\")\n",
    "print(\"=\" * 80)\n",
    "portfolio_metrics = calculate_strategy_metrics(\n",
    "    MYPOR['My_portfolio'], \n",
    "    benchmark_returns=MYPOR['MKT'],\n",
    "    rf_rate=0.03/12  # 假设年化无风险利率为3%\n",
    ")\n",
    "\n",
    "for key, value in portfolio_metrics.items():\n",
    "    print(f\"{key:.<50} {value:>20}\")\n",
    "print(\"=\" * 80)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 33,
   "id": "f5f22ead-de5e-47e6-a7bf-20a4b51956b2",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "\n",
      "================================================================================\n",
      "不同投资组合的对比分析\n",
      "================================================================================\n",
      "\n",
      "【反转策略 (My Portfolio)】\n",
      "--------------------------------------------------------------------------------\n",
      "累积收益率 (Cumulative Return).........................               15.91%\n",
      "年化收益率 (Annualized Return).........................                9.77%\n",
      "年化波动率 (Annualized Volatility).....................               19.86%\n",
      "最大回撤 (Maximum Drawdown)...........................              -14.74%\n",
      "夏普比率 (Sharpe Ratio)...............................               0.4164\n",
      "索提诺比率 (Sortino Ratio).............................               0.5171\n",
      "卡玛比率 (Calmar Ratio)...............................               0.6628\n",
      "胜率 (Win Rate).....................................               52.63%\n",
      "\n",
      "【市场组合 (Market)】\n",
      "--------------------------------------------------------------------------------\n",
      "累积收益率 (Cumulative Return).........................              -22.70%\n",
      "年化收益率 (Annualized Return).........................              -15.01%\n",
      "年化波动率 (Annualized Volatility).....................               22.40%\n",
      "最大回撤 (Maximum Drawdown)...........................              -23.85%\n",
      "夏普比率 (Sharpe Ratio)...............................              -0.7497\n",
      "索提诺比率 (Sortino Ratio).............................              -1.7340\n",
      "卡玛比率 (Calmar Ratio)...............................              -0.6293\n",
      "胜率 (Win Rate).....................................               42.11%\n",
      "\n",
      "【最低收益组 (P1)】\n",
      "--------------------------------------------------------------------------------\n",
      "累积收益率 (Cumulative Return).........................              -15.74%\n",
      "年化收益率 (Annualized Return).........................              -10.25%\n",
      "年化波动率 (Annualized Volatility).....................               28.24%\n",
      "最大回撤 (Maximum Drawdown)...........................              -19.41%\n",
      "夏普比率 (Sharpe Ratio)...............................              -0.3557\n",
      "索提诺比率 (Sortino Ratio).............................              -0.7057\n",
      "卡玛比率 (Calmar Ratio)...............................              -0.5283\n",
      "胜率 (Win Rate).....................................               42.11%\n",
      "\n",
      "【最高收益组 (Pmax)】\n",
      "--------------------------------------------------------------------------------\n",
      "累积收益率 (Cumulative Return).........................              -27.61%\n",
      "年化收益率 (Annualized Return).........................              -18.46%\n",
      "年化波动率 (Annualized Volatility).....................               20.02%\n",
      "最大回撤 (Maximum Drawdown)...........................              -22.54%\n",
      "夏普比率 (Sharpe Ratio)...............................              -1.0644\n",
      "索提诺比率 (Sortino Ratio).............................              -2.0614\n",
      "卡玛比率 (Calmar Ratio)...............................              -0.8187\n",
      "胜率 (Win Rate).....................................               42.11%\n",
      "\n",
      "================================================================================\n"
     ]
    }
   ],
   "source": [
    "# 对比分析：我的策略 vs 市场 vs P1 vs Pmax\n",
    "print(\"\\n\" + \"=\" * 80)\n",
    "print(\"不同投资组合的对比分析\")\n",
    "print(\"=\" * 80)\n",
    "\n",
    "strategies = {\n",
    "    '反转策略 (My Portfolio)': MYPOR['My_portfolio'],\n",
    "    '市场组合 (Market)': MYPOR['MKT'],\n",
    "    '最低收益组 (P1)': MYPOR['P1'],\n",
    "    '最高收益组 (Pmax)': MYPOR['Pmax']\n",
    "}\n",
    "\n",
    "comparison_results = []\n",
    "\n",
    "for name, returns in strategies.items():\n",
    "    print(f\"\\n【{name}】\")\n",
    "    print(\"-\" * 80)\n",
    "    metrics = calculate_strategy_metrics(returns, benchmark_returns=MYPOR['MKT'], rf_rate=0.03/12)\n",
    "    \n",
    "    # 只显示关键指标\n",
    "    key_metrics = [\n",
    "        '累积收益率 (Cumulative Return)',\n",
    "        '年化收益率 (Annualized Return)',\n",
    "        '年化波动率 (Annualized Volatility)',\n",
    "        '最大回撤 (Maximum Drawdown)',\n",
    "        '夏普比率 (Sharpe Ratio)',\n",
    "        '索提诺比率 (Sortino Ratio)',\n",
    "        '卡玛比率 (Calmar Ratio)',\n",
    "        '胜率 (Win Rate)'\n",
    "    ]\n",
    "    \n",
    "    for key in key_metrics:\n",
    "        if key in metrics:\n",
    "            print(f\"{key:.<50} {metrics[key]:>20}\")\n",
    "    \n",
    "    # 保存用于后续对比\n",
    "    comparison_results.append({\n",
    "        '策略': name,\n",
    "        '年化收益': metrics['年化收益率 (Annualized Return)'],\n",
    "        '年化波动': metrics['年化波动率 (Annualized Volatility)'],\n",
    "        '夏普比率': metrics['夏普比率 (Sharpe Ratio)'],\n",
    "        '最大回撤': metrics['最大回撤 (Maximum Drawdown)']\n",
    "    })\n",
    "\n",
    "print(\"\\n\" + \"=\" * 80)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 34,
   "id": "9451750f-ad08-44cc-bab4-655bddf9229e",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "\n",
      "策略对比汇总表:\n",
      "                 策略    年化收益   年化波动    夏普比率    最大回撤\n",
      "反转策略 (My Portfolio)   9.77% 19.86%  0.4164 -14.74%\n",
      "      市场组合 (Market) -15.01% 22.40% -0.7497 -23.85%\n",
      "         最低收益组 (P1) -10.25% 28.24% -0.3557 -19.41%\n",
      "       最高收益组 (Pmax) -18.46% 20.02% -1.0644 -22.54%\n",
      "\n",
      "\n"
     ]
    }
   ],
   "source": [
    "# 创建对比表格\n",
    "comparison_df = pd.DataFrame(comparison_results)\n",
    "print(\"\\n策略对比汇总表:\")\n",
    "print(comparison_df.to_string(index=False))\n",
    "print(\"\\n\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 37,
   "id": "d6ccbc06-2063-4b38-81d0-6044d9dac543",
   "metadata": {},
   "outputs": [
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   "source": [
    "# 绘制完整的回撤图\n",
    "cumulative_return = (1 + MYPOR['My_portfolio']).cumprod()\n",
    "running_max = cumulative_return.cummax()\n",
    "drawdown = (cumulative_return / running_max - 1) * 100  # 转换为百分比\n",
    "\n",
    "fig, axes = plt.subplots(2, 1, figsize=(10, 6))\n",
    "\n",
    "# 累积收益率和最大值\n",
    "axes[0].plot(cumulative_return.index, cumulative_return, 'b-', label='Strategy Net Value', linewidth=2)\n",
    "axes[0].plot(running_max.index, running_max, 'r--', label='Historical Peak Value', linewidth=1, alpha=0.7)\n",
    "axes[0].set_title('Strategy Net Value Curve', fontsize=14, fontweight='bold')\n",
    "axes[0].set_ylabel('Cumulative Net Value')\n",
    "axes[0].legend(loc='upper left')\n",
    "axes[0].grid(True, alpha=0.3)\n",
    "\n",
    "# 回撤曲线\n",
    "axes[1].fill_between(drawdown.index, drawdown, 0, color='red', alpha=0.3)\n",
    "axes[1].plot(drawdown.index, drawdown, 'r-', linewidth=1)\n",
    "axes[1].set_title('Drawdown Curve', fontsize=14, fontweight='bold')\n",
    "axes[1].set_ylabel('Drawdown (%)')\n",
    "axes[1].set_xlabel('Time')\n",
    "axes[1].grid(True, alpha=0.3)\n",
    "\n",
    "# 标注最大回撤点\n",
    "max_dd_value = drawdown.min()\n",
    "max_dd_date = drawdown.idxmin()\n",
    "axes[1].plot(max_dd_date, max_dd_value, 'ro', markersize=10)\n",
    "axes[1].annotate(f'Max Drawdown: {max_dd_value:.2f}%\\n{max_dd_date.strftime(\"%Y-%m\")}',\n",
    "                xy=(max_dd_date, max_dd_value),\n",
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    "plt.tight_layout();\n",
    "plt.show();"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 38,
   "id": "3932fd00-4ec4-4768-8a0b-d30dc7aede89",
   "metadata": {},
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     "name": "stdout",
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     "text": [
      "Annual Returns (%):\n",
      "       Reversal Strategy  Market  Lowest Return Group  Highest Return Group\n",
      "month                                                                      \n",
      "2000               10.54  -21.52               -17.21                -24.63\n",
      "2001                4.86   -1.50                 1.77                 -3.95\n",
      "\n",
      "Average Annual Return (%): 7.70\n",
      "Annual Return Std Dev (%): 4.02\n",
      "Positive Return Years: 2/2\n"
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      "text/plain": [
       "<Figure size 1000x600 with 1 Axes>"
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   "source": [
    "# 年度表现\n",
    "annual_returns = MYPOR.groupby(MYPOR.index.year).agg({\n",
    "    'My_portfolio': lambda x: (1 + x).prod() - 1,\n",
    "    'MKT': lambda x: (1 + x).prod() - 1,\n",
    "    'P1': lambda x: (1 + x).prod() - 1,\n",
    "    'Pmax': lambda x: (1 + x).prod() - 1\n",
    "})\n",
    "\n",
    "annual_returns.columns = ['Reversal Strategy', 'Market', 'Lowest Return Group', 'Highest Return Group']\n",
    "annual_returns = annual_returns * 100  # Convert to percentage\n",
    "\n",
    "print(\"Annual Returns (%):\")\n",
    "print(annual_returns.round(2))\n",
    "print(f\"\\nAverage Annual Return (%): {annual_returns['Reversal Strategy'].mean():.2f}\")\n",
    "print(f\"Annual Return Std Dev (%): {annual_returns['Reversal Strategy'].std():.2f}\")\n",
    "print(f\"Positive Return Years: {(annual_returns['Reversal Strategy'] > 0).sum()}/{len(annual_returns)}\")\n",
    "\n",
    "# Plot annual returns comparison\n",
    "fig, ax = plt.subplots(figsize=(10, 6))\n",
    "x = np.arange(len(annual_returns))\n",
    "width = 0.2\n",
    "\n",
    "bars1 = ax.bar(x - 1.5*width, annual_returns['Reversal Strategy'], width, label='Reversal Strategy', alpha=0.8)\n",
    "bars2 = ax.bar(x - 0.5*width, annual_returns['Market'], width, label='Market', alpha=0.8)\n",
    "bars3 = ax.bar(x + 0.5*width, annual_returns['Lowest Return Group'], width, label='Lowest Return Group', alpha=0.8)\n",
    "bars4 = ax.bar(x + 1.5*width, annual_returns['Highest Return Group'], width, label='Highest Return Group', alpha=0.8)\n",
    "\n",
    "ax.set_xlabel('Year')\n",
    "ax.set_ylabel('Return (%)')\n",
    "ax.set_title('Annual Returns Comparison', fontsize=14, fontweight='bold')\n",
    "ax.set_xticks(x)\n",
    "ax.set_xticklabels(annual_returns.index, rotation=45)\n",
    "ax.legend()\n",
    "ax.axhline(y=0, color='black', linestyle='-', linewidth=0.5)\n",
    "ax.grid(True, alpha=0.3, axis='y')\n",
    "\n",
    "plt.tight_layout()\n",
    "plt.show();"
   ]
  },
  {
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   "execution_count": 39,
   "id": "eb638a5d-b566-4609-b491-a0d4f886e9a3",
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    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "\n",
      "Quarterly Returns (%):\n",
      "         Q1    Q2     Q3    Q4  Annual\n",
      "Year                                  \n",
      "2000   5.57 -5.54  14.25 -2.97   10.54\n",
      "2001  11.66 -9.14   3.35   NaN    4.86\n"
     ]
    },
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      "text/plain": [
       "<Figure size 1000x1200 with 2 Axes>"
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   ],
   "source": [
    "# 季度表现热力图\n",
    "MYPOR_copy = MYPOR.copy()\n",
    "MYPOR_copy['Year'] = MYPOR_copy.index.year\n",
    "MYPOR_copy['Quarter'] = MYPOR_copy.index.quarter\n",
    "\n",
    "quarterly_returns = MYPOR_copy.groupby(['Year', 'Quarter'])['My_portfolio'].apply(\n",
    "    lambda x: (1 + x).prod() - 1\n",
    ") * 100\n",
    "\n",
    "# 转换为透视表\n",
    "quarterly_pivot = quarterly_returns.reset_index().pivot(index='Year', columns='Quarter', values='My_portfolio')\n",
    "quarterly_pivot.columns = ['Q1', 'Q2', 'Q3', 'Q4']\n",
    "\n",
    "# 添加年度收益率列\n",
    "quarterly_pivot['Annual'] = annual_returns['Reversal Strategy']\n",
    "\n",
    "print(\"\\nQuarterly Returns (%):\")\n",
    "print(quarterly_pivot.round(2))\n",
    "\n",
    "# 绘制热力图\n",
    "fig, ax = plt.subplots(figsize=(10, 12))\n",
    "im = ax.imshow(quarterly_pivot.values, cmap='RdYlGn', aspect='auto', vmin=-20, vmax=20)\n",
    "\n",
    "# 设置坐标轴\n",
    "ax.set_xticks(np.arange(len(quarterly_pivot.columns)))\n",
    "ax.set_yticks(np.arange(len(quarterly_pivot.index)))\n",
    "ax.set_xticklabels(quarterly_pivot.columns)\n",
    "ax.set_yticklabels(quarterly_pivot.index)\n",
    "\n",
    "# 在每个格子中显示数值\n",
    "for i in range(len(quarterly_pivot.index)):\n",
    "    for j in range(len(quarterly_pivot.columns)):\n",
    "        value = quarterly_pivot.values[i, j]\n",
    "        if not np.isnan(value):\n",
    "            text = ax.text(j, i, f'{value:.1f}%',\n",
    "                         ha=\"center\", va=\"center\", color=\"black\", fontsize=9)\n",
    "\n",
    "ax.set_title('Quarterly Returns Heatmap', fontsize=14, fontweight='bold', pad=20)\n",
    "ax.set_xlabel('Quarter')\n",
    "ax.set_ylabel('Year')\n",
    "\n",
    "# 添加颜色条\n",
    "cbar = plt.colorbar(im, ax=ax)\n",
    "cbar.set_label('Return (%)', rotation=270, labelpad=20)\n",
    "\n",
    "plt.tight_layout()\n",
    "plt.show();"
   ]
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